N-CSRS 1 v030524_ncsrs.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D. C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-3651 ------------------------------ Touchstone Strategic Trust ----------------------------------------------------------------- (Exact name of registrant as specified in charter) 303 Broadway, Cincinnati, Ohio 45202 ------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Jill T. McGruder, 303 Broadway, Cincinnati, Ohio 45202 --------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (513) 362-8000 --------------- Date of fiscal year end: 3/31/06 ------- Date of reporting period: 9/30/05 ------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F. Street, N.E., Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORTS TO STOCKHOLDERS. Touchstone Emerging Growth Fund Touchstone Growth Opportunities Fund Touchstone Large Cap Core Equity Fund Touchstone Large Cap Growth Fund Touchstone Micro Cap Growth Fund Touchstone Small Cap Growth Fund Touchstone Value Plus Fund Touchstone Emerging Growth Fund Touchstone Growth Opportunities Fund Touchstone Large Cap Core Equity Fund Touchstone Large Cap Growth Fund Touchstone Micro Cap Growth Fund Touchstone Small Cap Growth Fund Touchstone Value Plus Fund Touchstone Emerging Growth Fund Touchstone Growth Opportunities Fund Touchstone Large Cap Core Equity Fund Touchstone Large Cap Growth Fund Touchstone Micro Cap September 30, 2005 (Unaudited) -------------------------------------------------------------------------------- [LOGO] TOUCHSTONE INVESTMENTS -------------------------------------------------------------------------------- Semi-Annual Report -------------------------------------------------------------------------------- Touchstone Emerging Growth Fund Touchstone Growth Opportunities Fund Touchstone Large Cap Core Equity Fund Touchstone Large Cap Growth Fund Touchstone Micro Cap Growth Fund Touchstone Small Cap Growth Fund Touchstone Value Plus Fund RESEARCH o DESIGN o SELECT o MONITOR TABLE OF CONTENTS -------------------------------------------------------------------------------- Page -------------------------------------------------------------------------------- Tabular Presentation of Portfolios of Investments 3 -------------------------------------------------------------------------------- Statements of Assets and Liabilities 4-7 -------------------------------------------------------------------------------- Statements of Operations 8-10 -------------------------------------------------------------------------------- Statements of Changes in Net Assets 11-15 -------------------------------------------------------------------------------- Financial Highlights 16-38 -------------------------------------------------------------------------------- Notes to Financial Statements 39-54 -------------------------------------------------------------------------------- Portfolios of Investments: -------------------------------------------------------------------------------- Emerging Growth Fund 55-58 -------------------------------------------------------------------------------- Growth Opportunities Fund 59-60 -------------------------------------------------------------------------------- Large Cap Core Equity Fund 61-62 -------------------------------------------------------------------------------- Large Cap Growth Fund 63-64 -------------------------------------------------------------------------------- Micro Cap Growth Fund 65-67 -------------------------------------------------------------------------------- Small Cap Growth Fund 68-71 -------------------------------------------------------------------------------- Value Plus Fund 72-74 -------------------------------------------------------------------------------- Other Items 75-78 -------------------------------------------------------------------------------- 2 TABULAR PRESENTATION OF PORTFOLIOS OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) -------------------------------------------------------------------------------- The illustrations below provide each Fund's sector allocation. We hope it will be useful to shareholders as it summarizes key information about each Fund's investments. ---------------------------------------------------------------- EMERGING GROWTH FUND -------------------- SECTOR ALLOCATION (% OF NET ASSETS) Information Technology 27.4 Health Care 21.5 Consumer Discretionary 14.1 Industrials 11.9 Energy 11.8 Financials 7.7 Materials 1.8 Consumer Staples 1.4 Investment Funds 11.9 Other Assets/Liabilities (Net) (9.5) -------- TOTAL 100.0 -------- ---------------------------------------------------------------- ---------------------------------------------------------------- LARGE CAP CORE EQUITY FUND -------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Industrials 17.7 Information Technology 17.3 Consumer Staples 16.2 Financials 14.5 Health Care 11.3 Consumer Discretionary 10.2 Energy 4.8 Telecommunication 2.8 Materials 2.6 Investment Funds 3.6 Other Assets/Liabilities (Net) (1.0) -------- TOTAL 100.0 -------- ---------------------------------------------------------------- ---------------------------------------------------------------- MICRO CAP GROWTH FUND --------------------- SECTOR ALLOCATION (% OF NET ASSETS) Health Care 27.0 Information Technology 23.3 Industrials 19.8 Consumer Discretionary 15.6 Consumer Staples 7.5 Financials 2.7 Materials 2.5 Energy 1.0 Investment Funds 27.6 Other Assets/Liabilities (Net) (27.0) -------- TOTAL 100.0 -------- ---------------------------------------------------------------- ---------------------------------------------------------------- VALUE PLUS FUND --------------- SECTOR ALLOCATION (% OF NET ASSETS) Financials 24.6 Energy 13.0 Health Care 12.2 Consumer Discretionary 10.0 Information Technology 9.9 Industrials 9.0 Consumer Staples 6.4 Utilities 5.6 Telecommunication 4.8 Materials 2.2 Investment Funds 5.8 Other Assets/Liabilities (Net) (3.5) -------- TOTAL 100.0 -------- ---------------------------------------------------------------- ---------------------------------------------------------------- GROWTH OPPORTUNITIES FUND ------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Information Technology 30.9 Health Care 27.7 Consumer Discretionary 14.2 Energy 13.2 Industrials 11.0 Materials 2.0 Consumer Staples 1.3 Investment Funds 0.8 Other Assets/Liabilities (Net) (1.1) -------- TOTAL 100.0 -------- ---------------------------------------------------------------- ---------------------------------------------------------------- LARGE CAP GROWTH FUND --------------------- SECTOR ALLOCATION (% OF NET ASSETS) Health Care 23.0 Information Technology 21.4 Consumer Discretionary 11.7 Financials 9.3 Telecommunication 6.7 Energy 6.3 Consumer Staples 6.0 Materials 5.7 Industrials 4.4 Utilities 2.8 Investment Funds 5.3 Other Assets/Liabilities (Net) (2.6) -------- TOTAL 100.0 -------- ---------------------------------------------------------------- ---------------------------------------------------------------- SMALL CAP GROWTH FUND --------------------- SECTOR ALLOCATION (% OF NET ASSETS) Information Technology 30.6 Health Care 16.5 Industrials 15.4 Energy 10.4 Consumer Staples 6.5 Financials 5.2 Consumer Discretionary 4.6 Materials 3.0 Telecommunication 1.9 Investment Funds 29.5 Other Assets/Liabilities (Net) (23.6) -------- TOTAL 100.0 -------- ---------------------------------------------------------------- 3
STATEMENTS OF ASSETS AND LIABILITIES SEPTEMBER 30, 2005 (UNAUDITED) =================================================================================================================================== EMERGING GROWTH LARGE CAP LARGE GROWTH OPPORTUNITIES CORE EQUITY CAP GROWTH FUND FUND FUND FUND ----------------------------------------------------------------------------------------------------------------------------------- ASSETS Investment securities: At cost ....................................... $ 918,962,829 $ 98,618,142 $ 10,760,861 $ 615,581,077 ============================================================================== Affiliated securities at market value ......... $ 114,762,348 $ 853,951 $ 468,166 $ 36,174,635 Non-affiliated securities at market value ..... 938,167,644 110,275,954 12,545,448 662,145,961 ------------------------------------------------------------------------------ At market value - including $88,131,934, $148,002 and $19,433,536 of securities loaned for Emerging Growth Fund, Large Cap Core Equity Fund and Large Cap Growth Fund, respectively ....... 1,052,929,992 111,129,905 13,013,614 698,320,596 Dividends and interest receivable ................. 564,439 25,558 19,352 468,089 Receivable for capital shares sold ................ 4,325,004 53,612 25,041 4,721,132 Receivable for securities sold .................... 647,313 -- -- -- Receivable for securities lending income .......... 11,888 4 4 644 Receivable from Advisor ........................... -- -- 1,717 -- Other assets ...................................... 45,530 22,216 11,255 56,176 ------------------------------------------------------------------------------ TOTAL ASSETS ...................................... 1,058,524,166 111,231,295 13,070,983 703,566,637 LIABILITIES Payable upon return of securities loaned .......... 90,915,822 -- 151,300 19,851,996 Payable for securities purchased .................. 1,880,687 801,821 -- -- Payable for capital shares redeemed ............... 2,675,879 298,361 13,030 2,443,497 Payable to Advisor ................................ 628,028 85,046 -- 375,353 Payable to other affiliates ....................... 153,626 31,122 7,020 42,638 Payable to Trustees ............................... 1,422 1,184 1,600 1,894 Other accrued expenses and liabilities ............ 834,055 121,303 17,501 177,136 ------------------------------------------------------------------------------ TOTAL LIABILITIES ................................. 97,089,519 1,338,837 190,451 22,892,514 NET ASSETS ........................................ $ 961,434,647 $ 109,892,458 $ 12,880,532 $ 680,674,123 ============================================================================== NET ASSETS CONSIST OF: Paid-in capital ................................... $ 770,192,625 $ 156,953,041 $ 12,360,020 $ 651,823,167 Accumulated net investment income (loss) .......... (4,458,775) (739,739) 70,523 (609,050) Accumulated net realized gains (losses) from security transactions .................... 61,733,634 (58,832,607) (1,802,764) (53,279,513) Net unrealized appreciation on investments ........ 133,967,163 12,511,763 2,252,753 82,739,519 ------------------------------------------------------------------------------ NET ASSETS ........................................ $ 961,434,647 $ 109,892,458 $ 12,880,532 $ 680,674,123 ============================================================================== PRICING OF CLASS A SHARES Net assets attributable to Class A shares ......... $ 593,867,906 $ 85,348,368 $ 9,922,338 $ 514,859,230 ============================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) ................................. 25,549,652 4,276,921 1,015,843 24,137,704 ============================================================================== Net asset value and redemption price per share .... $ 23.24 $ 19.96 $ 9.77 $ 21.33 ============================================================================== Maximum offering price per share .................. $ 24.66 $ 21.18 $ 10.37 $ 22.63 ==============================================================================
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STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) ============================================================================================================================== EMERGING GROWTH LARGE CAP LARGE GROWTH OPPORTUNITIES CORE EQUITY CAP GROWTH FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------ PRICING OF CLASS B SHARES Net assets attributable to Class B shares ............ $ 74,325,359 $ 3,040,640 $ 1,676,420 $ 18,150,201 ======================================================================= Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) .................................... 3,526,602 160,877 173,329 864,247 ======================================================================= Net asset value, offering price and redemption price per share* ...................... $ 21.08 $ 18.90 $ 9.67 $ 21.00 PRICING OF CLASS C SHARES Net assets attributable to Class C shares ............ $ 293,241,382 $ 21,503,450 $ 1,281,774 $ 98,263,079 ======================================================================= Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) .................................... 13,901,507 1,127,975 131,950 4,670,764 ======================================================================= Net asset value, offering price and redemption price per share* ...................... $ 21.09 $ 19.06 $ 9.71 $ 21.04 ======================================================================= PRICING OF CLASS I SHARES Net assets attributable to Class I shares ............ $ -- $ -- $ -- $ 49,401,613 ======================================================================= Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) .................................... -- -- -- 2,311,313 ======================================================================= Net asset value, offering price and redemption price per share ....................... $ -- $ -- $ -- $ 21.37 =======================================================================
* Redemption price per share varies by length of time shares are held. See accompanying notes to financial statements. 5
STATEMENTS OF ASSETS AND LIABILITIES SEPTEMBER 30, 2005 (UNAUDITED) ================================================================================================================ MICRO CAP SMALL CAP VALUE PLUS GROWTH FUND GROWTH FUND FUND ---------------------------------------------------------------------------------------------------------------- ASSETS Investment securities: At cost ............................................... $ 69,533,004 $ 276,943,495 $ 69,938,422 --------------------------------------------------- Affiliated securities at market value ................. $ 17,770,221 $ 73,233,115 $ 4,398,092 Non-affiliated securities at market value ............. 63,867,241 233,696,852 74,769,050 --------------------------------------------------- At market value - including $17,050,621, $56,002,458 and $2,590,585 of securities loaned for the Micro Cap Growth Fund, Small Cap Growth Fund and Value Plus Fund, respectively ...................................... 81,637,462 306,929,967 79,167,142 Dividends and interest receivable ......................... 14,127 108,713 105,188 Receivable for capital shares sold ........................ 484,039 2,835,296 73,778 Receivable for securities sold ............................ 617,460 816,218 -- Receivable for securities lending income .................. 29,862 42,080 54 Other assets .............................................. 30,495 38,797 10,608 --------------------------------------------------- TOTAL ASSETS .............................................. 82,813,445 310,771,071 79,356,770 --------------------------------------------------- LIABILITIES Payable upon return of securities loaned .................. 17,591,183 57,727,317 2,661,772 Payable for securities purchased .......................... 656,394 4,056,219 -- Payable for capital shares redeemed ....................... 169,758 249,686 112,552 Payable to Advisor ........................................ 64,387 240,397 46,585 Payable to other affiliates ............................... 10,197 25,267 13,603 Payable to Trustees ....................................... 2,083 1,580 1,605 Other accrued expenses and liabilities .................... 38,687 79,497 36,615 --------------------------------------------------- TOTAL LIABILITIES ......................................... 18,532,689 62,379,963 2,872,732 --------------------------------------------------- NET ASSETS ................................................ $ 64,280,756 $ 248,391,108 $ 76,484,038 =================================================== NET ASSETS CONSIST OF: Paid-in capital ........................................... $ 58,056,233 $ 220,514,067 $ 77,850,106 Accumulated net investment income (loss) .................. (351,706) (930,475) 312,266 Accumulated net realized losses from security transactions ................................. (5,528,229) (1,178,956) (10,907,054) Net unrealized appreciation on investments ................ 12,104,458 29,986,472 9,228,720 --------------------------------------------------- NET ASSETS ................................................ $ 64,280,756 $ 248,391,108 $ 76,484,038 =================================================== PRICING OF CLASS A SHARES Net assets attributable to Class A shares ................. $ 42,051,542 $ 43,589,779 $ 73,892,470 =================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) ......................................... 3,593,516 2,657,281 6,693,557 =================================================== Net asset value and redemption price per share ............ $ 11.70 $ 16.40 $ 11.04 =================================================== Maximum offering price per share .......................... $ 12.41 $ 17.40 $ 11.71 ===================================================
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STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) =============================================================================================================== MICRO CAP SMALL CAP VALUE PLUS GROWTH FUND GROWTH FUND FUND --------------------------------------------------------------------------------------------------------------- PRICING OF CLASS B SHARES Net assets attributable to Class B shares ................ $ -- $ 9,426,350 $ 854,659 ==================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) ........................................ -- 585,951 81,319 ==================================================== Net asset value, offering price and redemption price per share* .......................... $ -- $ 16.09 $ 10.51 ==================================================== PRICING OF CLASS C SHARES Net assets attributable to Class C shares ................ $ 22,215,743 $ 20,345,310 $ 1,736,909 ==================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) ........................................ 1,915,253 1,263,634 164,351 ==================================================== Net asset value, offering price and redemption price per share* .......................... $ 11.60 $ 16.10 $ 10.57 ==================================================== PRICING OF CLASS I SHARES Net assets attributable to Class I shares ................ $ 13,471 $ 175,029,669 $ -- ==================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) ........................................ 1,138 10,615,277 -- ==================================================== Net asset value, offering price and redemption price per share ........................... $ 11.84 $ 16.49 $ -- ====================================================
* Redemption price per share varies by length of time shares are held. See accompanying notes to financial statements. 7
STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2005 (UNAUDITED) ================================================================================================================================= EMERGING GROWTH LARGE CAP LARGE GROWTH OPPORTUNITIES CORE EQUITY CAP GROWTH FUND FUND FUND FUND --------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends from affiliated securities ................ $ 157,760 $ 709 $ 1,556 $ 92,293 Dividends from non-affiliated securities ............ 3,297,921 311,343 122,118 2,236,147 Interest ............................................ 250,442 3,340 1,554 106,347 Income from securities loaned ....................... 57,395 1,634 10 100,955 -------------------------------------------------------------------------- TOTAL INVESTMENT INCOME ............................. 3,763,518 317,026 125,238 2,535,742 -------------------------------------------------------------------------- EXPENSES Investment advisory fees ............................ 3,738,175 509,434 41,284 1,837,864 Distribution expenses, Class A ...................... 722,436 104,770 12,088 475,771 Distribution expenses, Class B ...................... 361,672 14,853 8,443 71,254 Distribution expenses, Class C ...................... 1,421,301 108,850 6,710 355,849 Sponsor fees ........................................ 934,552 -- 12,701 -- Transfer agent fees, Class A ........................ 312,161 63,067 6,154 69,030 Transfer agent fees, Class B ........................ 71,767 6,000 6,000 9,963 Transfer agent fees, Class C ........................ 208,047 32,399 6,000 26,347 Transfer agent fees, Class I ........................ -- -- -- 6,000 Postage and supplies ................................ 459,113 91,611 9,785 90,953 Administration fees ................................. 188,614 29,645 3,493 114,368 Registration fees ................................... -- 1,323 11 23,578 Registration fees, Class A .......................... 30,123 6,350 4,166 12,508 Registration fees, Class B .......................... 7,500 4,574 3,831 6,555 Registration fees, Class C .......................... 12,250 4,931 3,619 9,465 Registration fees, Class I .......................... -- -- -- 9,545 Accounting services fees ............................ 34,500 25,500 19,500 38,250 Reports to shareholders ............................. 66,407 17,387 3,687 13,249 Custodian fees ...................................... 58,934 19,662 4,530 19,921 Professional fees ................................... 25,228 10,213 7,923 12,002 Trustees' fees and expenses ......................... 4,219 3,691 3,749 4,211 Compliance fees and expenses ........................ 2,632 370 42 420 Other expenses ...................................... 8,094 2,135 684 2,251 -------------------------------------------------------------------------- TOTAL EXPENSES ...................................... 8,667,725 1,056,765 164,400 3,209,354 Sponsor fees waived ................................. (317,676) -- (12,701) -- Fees waived and/or expenses reimbursed by the Advisor ....................... -- -- (76,824) (2,994) Fees from commission recapture ...................... (127,756) -- -- (61,568) -------------------------------------------------------------------------- NET EXPENSES ........................................ 8,222,293 1,056,765 74,875 3,144,792 -------------------------------------------------------------------------- NET INVESTMENT INCOME (LOSS) ........................ (4,458,775) (739,739) 50,363 (609,050) --------------------------------------------------------------------------
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STATEMENTS OF OPERATIONS (CONTINUED) ================================================================================================================================= EMERGING GROWTH LARGE CAP LARGE GROWTH OPPORTUNITIES CORE EQUITY CAP GROWTH FUND FUND FUND FUND --------------------------------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS Net realized gains (losses) from security transactions ...................... $ 51,062,131 $ 6,762,284 $ (142,771) $ 7,411,794 Net change in unrealized appreciation/ depreciation on investments ..................... 28,220,919 5,591,292 464,271 37,384,433 -------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAINS ON INVESTMENTS .................................. 79,283,050 12,353,576 321,500 44,796,227 -------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS ................................. $ 74,824,275 $ 11,613,837 $ 371,863 $ 44,187,177 ==========================================================================
See accompanying notes to financial statements. 9
STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2005 (UNAUDITED) =========================================================================================================================== MICRO CAP SMALL CAP VALUE PLUS GROWTH FUND GROWTH FUND FUND --------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends from affiliated securities .............................. $ 4,914 $ 75,815 $ 11,506 Dividends from non-affiliated securities .......................... 116,724 391,115 709,345 Interest .......................................................... 5,852 85,276 10,427 Income from securities loaned ..................................... 143,654 191,938 266 ------------------------------------------------------ TOTAL INVESTMENT INCOME ........................................... 271,144 744,144 731,544 ------------------------------------------------------ EXPENSES Investment advisory fees .......................................... 353,741 1,190,558 286,242 Distribution expenses, Class A .................................... 47,063 49,887 92,112 Distribution expenses, Class B .................................... -- 45,428 4,318 Distribution expenses, Class C .................................... 94,697 97,087 8,892 Sponsor fees ...................................................... 56,599 190,491 76,332 Transfer agent fees, Class A ...................................... 19,403 33,901 17,548 Transfer agent fees, Class B ...................................... -- 9,493 6,000 Transfer agent fees, Class C ...................................... 11,158 16,369 6,000 Transfer agent fees, Class I ...................................... 6,000 6,000 -- Administration fees ............................................... 15,564 49,900 20,990 Postage and supplies .............................................. 17,640 44,940 14,085 Registration fees ................................................. 672 7,599 14 Registration fees, Class A ........................................ 6,330 10,570 4,683 Registration fees, Class B ........................................ -- 6,225 3,591 Registration fees, Class C ........................................ 4,437 6,330 2,174 Registration fees, Class I ........................................ 9,506 10,721 -- Accounting services fees .......................................... 20,112 29,402 22,500 Custodian fees .................................................... 5,711 21,962 5,311 Professional fees ................................................. 8,891 9,880 9,270 Reports to shareholders ........................................... 5,340 20,249 2,241 Trustees' fees and expenses ....................................... 4,211 3,729 3,733 Compliance fees and expenses ...................................... 60 315 98 Other expenses .................................................... 1,714 2,980 25 ------------------------------------------------------ TOTAL EXPENSES .................................................... 688,849 1,864,016 586,159 Sponsor fees waived ............................................... (56,599) (144,015) (76,332) Fees waived by the Advisor ........................................ (9,400) -- (3,739) Fees from commission recapture .................................... -- (45,382) -- ------------------------------------------------------ NET EXPENSES ...................................................... 622,850 1,674,619 506,088 ------------------------------------------------------ NET INVESTMENT INCOME (LOSS) ...................................... (351,706) (930,475) 225,456 ------------------------------------------------------ REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS Net realized gains (losses) from security transactions ............ (2,747,048) 1,250,229 3,624,863 Net change in unrealized appreciation/ depreciation on investments ................................... 5,700,537 14,457,714 (1,794,477) ------------------------------------------------------ NET REALIZED AND UNREALIZED GAINS ON INVESTMENTS ................................................ 2,953,489 15,707,943 1,830,386 ------------------------------------------------------ NET INCREASE IN NET ASSETS FROM OPERATIONS ........................ $ 2,601,783 $ 14,777,468 $ 2,055,842 ======================================================
See accompanying notes to financial statements. 10
STATEMENTS OF CHANGES IN NET ASSETS ============================================================================================================================ EMERGING GROWTH FUND GROWTH OPPORTUNITIES FUND ---------------------------------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2005 MARCH 31, 2005 MARCH 31, (UNAUDITED) 2005 (UNAUDITED) 2005 ---------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net investment loss ................................. $ (4,458,775) $ (9,852,791) $ (739,739) $ (1,658,581) Net realized gains (losses) from security transactions ........................... 51,062,131 56,815,359 6,762,284 (1,250,798) Net change in unrealized appreciation/ depreciation on investments ..................... 28,220,919 (7,412,336) 5,591,292 (1,270,962) ---------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ...................... 74,824,275 39,550,232 11,613,837 (4,180,341) ---------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS From net realized gains on security transactions, Class A .................. -- (30,707,187) -- -- From net realized gains on security transactions, Class B .................. -- (4,178,621) -- -- From net realized gains on security transactions, Class C .................. -- (16,875,744) -- -- ---------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS ................... -- (51,761,552) -- -- ---------------------------------------------------------------------- FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold ........................... 73,503,616 288,690,322 6,807,016 18,493,777 Reinvested distributions ............................ -- 24,935,700 -- -- Payments for shares redeemed ........................ (101,641,035) (192,878,196) (11,723,613) (51,241,202) ---------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS ................ (28,137,419) 120,747,826 (4,916,597) (32,747,425) ---------------------------------------------------------------------- CLASS B Proceeds from shares sold ........................... 1,956,422 13,522,238 60,800 306,152 Reinvested distributions ............................ -- 3,177,338 -- -- Payments for shares redeemed ........................ (5,142,463) (8,140,115) (395,171) (758,312) ---------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS B SHARE TRANSACTIONS ................. (3,186,041) 8,559,461 (334,371) (452,160) ---------------------------------------------------------------------- CLASS C Proceeds from shares sold ........................... 24,071,698 92,363,704 665,850 1,446,418 Reinvested distributions ............................ -- 9,991,538 -- -- Payments for shares redeemed ........................ (37,838,034) (63,213,832) (3,303,212) (7,583,036) ---------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS ................. (13,766,336) 39,141,410 (2,637,362) (6,136,618) ---------------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS ............. 29,734,479 156,237,377 3,725,507 (43,516,544) NET ASSETS Beginning of period ................................. 931,700,168 775,462,791 106,166,951 149,683,495 ---------------------------------------------------------------------- End of period ....................................... $ 961,434,647 $ 931,700,168 $ 109,892,458 $ 106,166,951 ====================================================================== ACCUMULATED NET INVESTMENT LOSS ..................... $ (4,458,775) $ -- $ (739,739) $ -- ======================================================================
See accompanying notes to financial statements. 11
STATEMENTS OF CHANGES IN NET ASSETS =========================================================================================================================== LARGE CAP CORE LARGE CAP EQUITY FUND GROWTH FUND --------------------------------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2005 MARCH 31, 2005 MARCH 31, (UNAUDITED) 2005 (UNAUDITED) 2005 (A) --------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net investment income (loss) $ 50,363 $ 123,232 $ (609,050) $ (547,767) Net realized gains (losses) from security transactions (142,771) 69,903 7,411,794 (3,744,037) Net change in unrealized appreciation/ depreciation on investments 464,271 447,901 37,384,433 32,652,389 ---------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS 371,863 641,036 44,187,177 28,360,585 ---------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income, Class A -- (104,022) -- -- From net investment income, Class B -- (6,024) -- -- From net investment income, Class C -- (6,291) -- -- ---------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS -- (116,337) -- -- ---------------------------------------------------------------------- FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold 597,731 1,314,451 233,956,680 203,259,563 Reinvested distributions -- 102,649 -- -- Payments for shares redeemed (293,986) (1,242,101) (26,667,242) (21,915,861) ---------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS 303,745 174,999 207,289,438 181,343,702 ---------------------------------------------------------------------- CLASS B Proceeds from shares sold 89,090 615,003 6,981,642 8,537,367 Reinvested distributions -- 5,126 -- -- Payments for shares redeemed (123,555) (487,110) (583,466) (703,491) ---------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS B SHARE TRANSACTIONS (34,465) 133,019 6,398,176 7,833,876 ---------------------------------------------------------------------- CLASS C Proceeds from shares sold 189,428 324,160 45,989,582 42,222,881 Reinvested distributions -- 4,213 -- -- Payments for shares redeemed (618,439) (991,375) (2,313,248) (1,452,263) ---------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS (429,011) (663,002) 43,676,334 40,770,618 ----------------------------------------------------------------------
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STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) ====================================================================================================================== LARGE CAP CORE LARGE CAP EQUITY FUND GROWTH FUND ---------------------------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2005 MARCH 31, 2005 MARCH 31, (UNAUDITED) 2005 (UNAUDITED) 2005 (A) ---------------------------------------------------------------------------------------------------------------------- CLASS I Proceeds from shares sold -- -- 6,761,122 45,601,562 Payments for shares redeemed -- -- (4,062,414) (3,553,094) -------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM CLASS I SHARE TRANSACTIONS -- -- 2,698,708 42,048,468 -------------------------------------------------------------------- TOTAL INCREASE IN NET ASSETS 212,132 169,715 304,249,833 300,357,249 NET ASSETS Beginning of period 12,668,400 12,498,685 376,424,290 76,067,041 -------------------------------------------------------------------- End of period $ 12,880,532 $ 12,668,400 $ 680,674,123 $ 376,424,290 ==================================================================== ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 70,523 $ 20,160 $ (609,050) $ -- ====================================================================
(A) Except for Class I shares, which represents the period from commencement of operations (November 10, 2004) through March 31, 2005. See accompanying notes to financial statements. 13
STATEMENTS OF CHANGES IN NET ASSETS ================================================================================================================================== MICRO CAP SMALL CAP VALUE PLUS GROWTH FUND GROWTH FUND FUND ---------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED PERIOD ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED SEPT. 30, ENDED 2005 MARCH 31, 2005 MARCH 31, 2005 MARCH 31, (UNAUDITED) 2005 (A) (UNAUDITED) 2005 (B) (UNAUDITED) 200 ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net investment income (loss) ............. $ (351,706) $ (306,311) $ (930,475) $ (1,449,143) $ 225,456 $ 334,149 Net realized gains (losses) from security transactions ................ (2,747,048) (2,781,181) 1,250,229 (2,004,542) 3,624,863 1,692,108 Net change in unrealized appreciation/ depreciation on investments .......... 5,700,537 6,403,921 14,457,714 2,379,623 (1,794,477) 2,689,196 --------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ...................... 2,601,783 3,316,429 14,777,468 (1,074,062) 2,055,842 4,715,453 --------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income, Class A ...... -- -- -- -- -- (320,278) From net realized gains on security transactions, Class A ....... -- -- -- (1,246,812) -- -- From net realized gains on security transactions, Class B ....... -- -- -- (224,660) -- -- From net realized gains on security transactions, Class C ....... -- -- -- (488,471) -- -- From net realized gains on security transactions, Class I ....... -- -- -- (1,079,040) -- -- --------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS ........ -- -- -- (3,038,983) -- (320,278) --------------------------------------------------------------------------------------- FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold ................ 14,385,562 31,541,033 8,846,157 23,301,967 1,814,818 15,037,600 Reinvested distributions ................. -- -- -- 1,133,280 -- 315,342 Payments for shares redeemed ............. (6,438,068) (1,614,570) (5,880,184) (36,962,457) (3,517,715) (10,606,767) --------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS ...... 7,947,494 29,926,463 2,965,973 (12,527,210) (1,702,897) 4,746,175 --------------------------------------------------------------------------------------- CLASS B Proceeds from shares sold ................ -- -- 240,315 2,217,143 68,529 237,082 Reinvested distributions ................. -- -- -- 191,118 -- -- Payments for shares redeemed ............. -- -- (360,400) (857,512) (109,874) (164,408) --------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS B SHARE TRANSACTIONS ...... -- -- (120,085) 1,550,749 (41,345) 72,674 ---------------------------------------------------------------------------------------
14
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) =================================================================================================================================== MICRO CAP SMALL CAP VALUE PLUS GROWTH FUND GROWTH FUND FUND ----------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED PERIOD ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED SEPT. 30, ENDED 2005 MARCH 31, 2005 MARCH 31, 2005 MARCH 31, (UNAUDITED) 2005 (A) (UNAUDITED) 2005 (B) (UNAUDITED) 2005 ----------------------------------------------------------------------------------------------------------------------------------- CLASS C Proceeds from shares sold ............. 6,274,345 16,065,265 2,253,933 8,502,606 32,616 332,945 Reinvested distributions .............. -- -- -- 240,827 -- -- Payments for shares redeemed .......... (1,157,866) (706,257) (2,067,536) (3,735,034) (186,629) (452,623) -------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS ... 5,116,479 15,359,008 186,397 5,008,399 (154,013) (119,678) -------------------------------------------------------------------------------------------- CLASS I Proceeds from shares sold ............. 19,000 100 89,360,955 84,391,152 -- -- Reinvested distributions .............. -- -- -- 1,078,915 -- -- Payments for shares redeemed .......... (6,000) -- (6,984,377) (2,674,911) -- -- -------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM CLASS I SHARE TRANSACTIONS ... 13,000 100 82,376,578 82,795,156 -- -- -------------------------------------------------------------------------------------------- TOTAL INCREASE IN NET ASSETS .......... 15,678,756 48,602,000 100,186,331 72,714,049 157,587 9,094,346 NET ASSETS Beginning of period ................... 48,602,000 -- 148,204,777 75,490,728 76,326,451 67,232,105 -------------------------------------------------------------------------------------------- End of period .........................$ 64,280,756 $ 48,602,000 $ 248,391,108 $ 148,204,777 $ 76,484,038 $ 76,326,451 ============================================================================================ ACCUMULATED NET INVESTMENT INCOME (LOSS) .....................$ (351,706) $ -- $ (930,475) $ -- $ 312,266 $ 86,810 ============================================================================================
(A) Represents the period from commencement of operations (June 22, 2004) through March 31, 2005 for Class A and Class C shares; (October 4, 2004) through March 31, 2005 for Class I shares. (B) Except for Class I shares, which represents the period from commencement of operations (May 5, 2004) through March 31, 2005. See accompanying notes to financial statements. 15
EMERGING GROWTH FUND--CLASS A FINANCIAL HIGHLIGHTS ============================================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD ------------------------------------------------------------------------------------------------------------------------------ SIX MONTHS THREE ENDED YEAR YEAR YEAR YEAR MONTHS YEAR SEPT. 30, ENDED ENDED ENDED ENDED ENDED ENDED 2005 MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, DEC. 31, (UNAUDITED) 2005 2004 2003 2002 2001(A) 2000 ------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period ....... $ 21.42 $ 21.73 $ 13.89 $ 19.52 $ 15.96 $ 17.93 $ 16.96 ---------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss ....... (0.08) (0.16) (0.13) (0.14) (0.14) -- (0.06) Net realized and unrealized gains (losses) on investments .............. 1.90 1.03 7.97 (5.29) 3.76 (1.97) 4.16 ---------------------------------------------------------------------------------------------- Total from investment operations ................ 1.82 0.87 7.84 (5.43) 3.62 (1.97) 4.10 ---------------------------------------------------------------------------------------------- Distributions from net realized gains ............ -- (1.18) -- (0.20) (0.06) -- (3.13) ---------------------------------------------------------------------------------------------- Net asset value at end of period ............. $ 23.24 $ 21.42 $ 21.73 $ 13.89 $ 19.52 $ 15.96 $ 17.93 ============================================================================================== Total return(B) .............. 8.50%(C) 4.13% 56.44% (27.90%) 22.72% (10.99%)(C) 25.92% ============================================================================================== Net assets at end of period (000's) ............ $ 593,868 $ 574,855 $ 458,524 $ 153,247 $ 169,781 $ 19,141 $ 15,304 ============================================================================================== Ratio of net expenses to average net assets ........ 1.50%(D) 1.50% 1.49%(E) 1.50% 1.50% 1.50%(D) 1.50% Ratio of net investment loss to average net assets ..... (0.67%)(D) (0.84%) (0.93%)(E) (1.07%) (1.02%) (0.10%)(D) (0.40%) Portfolio turnover ........... 66%(D) 85% 79% 62% 73% 68%(D) 98%
(A) Effective after the close of business on December 31, 2000, the Fund changed its fiscal year-end to March 31. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. (E) Absent voluntary expense reimbursements, the ratio of net expenses to average net assets would have been 1.50% and the ratio of net investment loss to average net assets would have been (0.94%). See accompanying notes to financial statements. 16
EMERGING GROWTH FUND--CLASS B FINANCIAL HIGHLIGHTS =============================================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD ------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR YEAR YEAR PERIOD SEPT. 30, ENDED ENDED ENDED ENDED 2005 MARCH 31, MARCH 31, MARCH 31, MARCH 31, (UNAUDITED) 2005 2004 2003 2002(A) ------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period .............. $ 19.50 $ 20.03 $ 12.53 $ 18.25 $ 16.45 ------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss ............................. (0.15) (0.29) (0.25) (0.14) (0.09) Net realized and unrealized gains (losses) on investments .............................. 1.73 0.94 7.75 (5.38) 1.95 ------------------------------------------------------------------------ Total from investment operations .................... 1.58 0.65 7.50 (5.52) 1.86 ------------------------------------------------------------------------ Distributions from net realized gains ............... -- (1.18) -- (0.20) (0.06) ------------------------------------------------------------------------ Net asset value at end of period .................... $ 21.08 $ 19.50 $ 20.03 $ 12.53 $ 18.25 ======================================================================== Total return(B) ..................................... 8.10%(C) 3.37% 59.86% (30.34%) 11.35%(C) ======================================================================== Net assets at end of period (000's) ................. $ 74,325 $ 71,879 $ 64,918 $ 26,226 $ 15,335 ======================================================================== Ratio of net expenses to average net assets ......... 2.25%(D) 2.25% 2.24%(E) 2.25% 2.25%(D) Ratio of net investment loss to average net assets .............................. (1.42%)(D) (1.60%) (1.68%)(E) (1.77%) (1.90%)(D) Portfolio turnover rate ............................. 66%(D) 85% 79% 62% 73%(D)
(A) Represents the period from commencement of operations (May 1, 2001) through March 31, 2002. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. (E) Absent voluntary expense reimbursements, the ratio of net expenses to average net assets would have been 2.25% and the ratio of net investment loss to average net assets would have been (1.69%). See accompanying notes to financial statements. 17
EMERGING GROWTH FUND--CLASS C FINANCIAL HIGHLIGHTS ================================================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD ---------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS THREE ENDED YEAR YEAR YEAR YEAR MONTHS YEAR SEPT. 30, ENDED ENDED ENDED ENDED ENDED ENDED 2005 MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, DEC. 31, (UNAUDITED) 2005 2004 2003 2002 2001(A) 2000 ---------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period ........ $ 19.51 $ 20.04 $ 12.55 $ 18.26 $ 15.01 $ 16.87 $ 16.29 ------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income (loss) ............. (0.15) (0.30) (0.23) (0.13) 0.01 (0.02) (0.17) Net realized and unrealized gains (losses) on investments ............... 1.73 0.95 7.72 (5.38) 3.30 (1.84) 3.88 ------------------------------------------------------------------------------------------------- Total from investment operations ................. 1.58 0.65 7.49 (5.51) 3.31 (1.86) 3.71 ------------------------------------------------------------------------------------------------- Less distributions: Dividends from net investment income ......... -- -- -- -- -- -- (3.13) Distributions from net realized gains ............ -- (1.18) -- (0.20) (0.06) -- -- ------------------------------------------------------------------------------------------------- Total distributions ........... -- (1.18) -- (0.20) (0.06) -- (3.13) ------------------------------------------------------------------------------------------------- Net asset value at end of period .................. $ 21.09 $ 19.51 $ 20.04 $ 12.55 $ 18.26 $ 15.01 $ 16.87 ================================================================================================= Total return(B) ............... 8.10%(C) 3.36% 59.68% (30.27%) 22.09% (11.03%)(C) 24.58% ================================================================================================= Net assets at end of period (000's) ............. $ 293,242 $ 284,966 $ 252,021 $ 97,743 $ 67,347 $ 7,600 $ 5,466 ================================================================================================= Ratio of net expenses to average net assets ......... 2.25%(D) 2.25% 2.24%(E) 2.25% 2.25% 2.25%(D) 2.25% Ratio of net investment loss to average net assets .......... (1.42%)(D) (1.60%) (1.68%)(E) (1.77%) (1.61%) (0.63%)(D) (1.15%) Portfolio turnover ............ 66%(D) 85% 79% 62% 73% 68%(D) 98%
(A) Effective after the close of business on December 31, 2000, the Fund changed its fiscal year-end to March 31. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. (E) Absent voluntary expense reimbursements, the ratio of net expenses to average net assets would have been 2.25% and the ratio of net investment loss to average net assets would have been (1.69%). See accompanying notes to financial statements. 18
GROWTH OPPORTUNITIES FUND--CLASS A FINANCIAL HIGHLIGHTS ================================================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD ---------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2005 ---------------------------------------------------------------- (UNAUDITED) 2005 2004 2003 2002 2001 ---------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period ..... $ 17.92 $ 18.06 $ 12.70 $ 18.18 $ 19.97 $ 32.43 ----------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss .................... (0.11) (0.24) (0.21) (0.19) (0.18) (0.13) Net realized and unrealized gains (losses) on investments ............ 2.15 0.10 5.57 (5.29) (1.61) (12.33) ----------------------------------------------------------------------------------- Total from investment operations ........... 2.04 (0.14) 5.36 (5.48) (1.79) (12.46) ----------------------------------------------------------------------------------- Net asset value at end of period ........... $ 19.96 $ 17.92 $ 18.06 $ 12.70 $ 18.18 $ 19.97 =================================================================================== Total return(A) ............................ 11.38%(B) (0.78%) 42.20% (30.14%) (8.96%) (38.42%) =================================================================================== Net assets at end of period (000's) ........ $ 85,348 $ 81,313 $ 117,605 $ 84,472 $ 121,791 $ 107,435 =================================================================================== Ratio of net expenses to average net assets ..................... 1.72%(C) 1.68% 1.60% 1.83% 1.49% 1.54% Ratio of net investment loss to average net assets ..................... (1.14%)(C) (1.14%) (1.23%) (1.40%) (0.98%) (0.66%) Portfolio turnover rate .................... 81%(C) 35% 47% 39% 52% 35% Amount of debt outstanding at end of period (000's) .................. n/a n/a n/a $ -- $ -- n/a Average daily amount of debt outstanding during the period (000's)(D) ........... n/a n/a n/a $ 242 $ 24 n/a Average daily number of capital shares outstanding during the period (000's)(D) n/a n/a n/a 8,916 8,481 n/a Average amount of debt per share during the period (D) .................. n/a n/a n/a $ 0.03 $ --(E) n/a
(A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. (D) Based on fund level shares outstanding. (E) Amount rounds to less than $0.01 per share. See accompanying notes to financial statements. 19
GROWTH OPPORTUNITIES FUND--CLASS B FINANCIAL HIGHLIGHTS ============================================================================================================================ PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD ---------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR YEAR YEAR PERIOD SEPT. 30, ENDED ENDED ENDED ENDED 2005 MARCH 31, MARCH 31, MARCH 31, MARCH 31, (UNAUDITED) 2005 2004 2003 2002(A) ---------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period ....... $ 16.97 $ 17.31 $ 12.13 $ 17.78 $ 22.74 --------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss ...................... (0.22) (0.43) (0.38) (0.36) (0.17) Net realized and unrealized gains (losses) on investments ....................... 2.15 0.09 5.56 (5.29) (4.79) --------------------------------------------------------------------------- Total from investment operations ............. 1.93 (0.34) 5.18 (5.65) (4.96) --------------------------------------------------------------------------- Net asset value at end of period ............. $ 18.90 $ 16.97 $ 17.31 $ 12.13 $ 17.78 =========================================================================== Total return(B) .............................. 11.37%(C) (1.96%) 42.70% (31.78%) (21.81%)(C) =========================================================================== Net assets at end of period (000's) .......... $ 3,041 $ 3,064 $ 3,608 $ 2,463 $ 3,380 =========================================================================== Ratio of net expenses to average net assets .. 3.04%(D) 2.95% 2.84% 3.16% 2.37%(D) Ratio of net investment loss to average net assets ....................... (2.43%)(D) (2.38%) (2.45%) (2.71%) (1.93%)(D) Portfolio turnover rate ...................... 81%(D) 35% 47% 39% 52%(D) Amount of debt outstanding at end of period (000's) .................... n/a n/a n/a $ -- $ -- Average daily amount of debt outstanding during the period (000's)(E) ............. n/a n/a n/a $ 242 $ 24 Average daily number of capital shares outstanding during the period (000's)(E) ........................ n/a n/a n/a 8,916 8,481 Average amount of debt per share during the period(E) ..................... n/a n/a n/a $ 0.03 $ -- (F)
(A) Represents the period from the commencement of operations (May 1, 2001) through March 31, 2002. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. (E) Based on fund level shares outstanding. (F) Amount rounds to less than $0.01 per share. See accompanying notes to financial statements. 20
GROWTH OPPORTUNITIES FUND--CLASS C FINANCIAL HIGHLIGHTS ================================================================================================================================ PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD -------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2005 ------------------------------------------------------------------ (UNAUDITED) 2005 2004 2003 2002 2001 -------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period .... $ 17.11 $ 17.39 $ 12.17 $ 17.78 $ 19.74 $ 32.30 ----------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss ................... (0.20) (0.40) (0.37) (0.36) (0.32) (0.19) Net realized and unrealized gains (losses) on investments ........... 2.15 0.12 5.59 (5.25) (1.64) (12.37) ----------------------------------------------------------------------------------- Total from investment operations .......... 1.95 (0.28) 5.22 (5.61) (1.96) (12.56) ----------------------------------------------------------------------------------- Net asset value at end of period .......... $ 19.06 $ 17.11 $ 17.39 $ 12.17 $ 17.78 $ 19.74 =================================================================================== Total return(A) ........................... 11.40%(B) (1.61%) 42.89% (31.55%) (9.93%) (38.89%) =================================================================================== Net assets at end of period (000's) ....... $ 21,503 $ 21,789 $ 28,470 $ 21,727 $ 40,967 $ 36,475 =================================================================================== Ratio of net expenses to average net assets 2.66%(C) 2.61% 2.60% 2.87% 2.31% 2.19% Ratio of net investment loss to average net assets .................... (2.06%)(C) (2.04%) (2.21%) (2.42%) (1.78%) (1.31%) Portfolio turnover rate ................... 81%(C) 35% 47% 39% 52% 35% Amount of debt outstanding at end of period (000's) ................. n/a n/a n/a $ -- $ -- n/a Average daily amount of debt outstanding during the period (000's)(D) .......... n/a n/a n/a $ 242 $ 24 n/a Average daily number of capital shares outstanding during the period (000's)(D) ..................... n/a n/a n/a 8,916 8,481 n/a Average amount of debt per share during the period (D) ................. n/a n/a n/a $ 0.03 $ --(E) n/a
(A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. (D) Based on fund level shares outstanding. (E) Amount rounds to less than $0.01 per share. See accompanying notes to financial statements. 21
LARGE CAP CORE EQUITY FUND--CLASS A FINANCIAL HIGHLIGHTS ============================================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD ------------------------------------------------------------------------------------------------------------------------------ SIX MONTHS ENDED YEAR YEAR YEAR YEAR PERIOD SEPT. 30, ENDED ENDED ENDED ENDED ENDED 2005 MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, (UNAUDITED) 2005 2004 2003 2002 2001(A) ------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period .... $ 9.48 $ 9.10 $ 6.71 $ 9.19 $ 8.90 $ 10.00 --------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income ................. 0.05 0.11 0.07 0.06 0.06 0.05 Net realized and unrealized gains (losses) on investments ........... 0.24 0.38 2.37 (2.46) 0.28 (1.10) --------------------------------------------------------------------------------- Total from investment operations .......... 0.29 0.49 2.44 (2.40) 0.34 (1.05) --------------------------------------------------------------------------------- Dividends from net investment income ...... -- (0.11) (0.05) (0.08) (0.05) (0.05) --------------------------------------------------------------------------------- Net asset value at end of period .......... $ 9.77 $ 9.48 $ 9.10 $ 6.71 $ 9.19 $ 8.90 ================================================================================= Total return(B) ........................... 3.06%(C) 5.32% 36.41% (26.19%) 3.86% (10.57%)(C) ================================================================================= Net assets at end of period (000's) ....... $ 9,922 $ 9,328 $ 8,783 $ 6,109 $ 7,561 $ 6,208 ================================================================================= Ratio of net expenses to average net assets 1.00%(D) 1.00% 0.97%(E) 1.00% 1.00% 1.00%(D) Ratio of net investment income to average net assets .................... 0.97%(D) 1.18% 0.85%(E) 0.90% 0.70% 0.54%(D) Portfolio turnover rate ................... 6%(D) 7% 10% 29% 9% 3%(D)
(A) Represents the period from the commencement of operations (May 1, 2000) through March 31, 2001. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. (E) Absent voluntary expense reimbursements, the ratio of net expenses to average net assets would have been 1.00% and the ratio of net investment income to average net assets would have been 0.82%. See accompanying notes to financial statements. 22
LARGE CAP CORE EQUITY FUND--CLASS B FINANCIAL HIGHLIGHTS ================================================================================================================= PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD ----------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR YEAR YEAR PERIOD SEPT. 30, ENDED ENDED ENDED ENDED 2005 MARCH 31, MARCH 31, MARCH 31, MARCH 31, (UNAUDITED) 2005 2004 2003 2002(A) ----------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period .... $ 9.42 $ 9.04 $ 6.69 $ 9.13 $ 9.50 -------------------------------------------------------------------- Income (loss) from investment operations: Net investment income ................. 0.01 0.04 0.01 0.01 0.02 Net realized and unrealized gains (losses) on investments ........... 0.24 0.37 2.36 (2.45) (0.37) -------------------------------------------------------------------- Total from investment operations .......... 0.25 0.41 2.37 (2.44) (0.35) -------------------------------------------------------------------- Dividends from net investment income ...... -- (0.03) (0.02) --(B) (0.02) -------------------------------------------------------------------- Net asset value at end of period .......... $ 9.67 $ 9.42 $ 9.04 $ 6.69 $ 9.13 ==================================================================== Total return(C) ........................... 2.65%(D) 4.55% 35.37% (26.70%) (3.60%)(D) ==================================================================== Net assets at end of period (000's) ....... $ 1,677 $ 1,665 $ 1,456 $ 729 $ 860 ==================================================================== Ratio of net expenses to average net assets 1.75%(E) 1.75% 1.72%(F) 1.75% 1.75%(E) Ratio of net investment income to average net assets .................... 0.22%(E) 0.46% 0.10%(F) 0.18% 0.03%(E) Portfolio turnover rate ................... 6%(E) 7% 10% 29% 9%(E)
(A) Represents the period from the commencement of operations (May 1, 2001) through March 31, 2002. (B) Amount rounds to less than $0.01 per share. (C) Total returns shown exclude the effect of applicable sales loads. (D) Not annualized. (E) Annualized. (F) Absent voluntary expense reimbursements, the ratio of net expenses to average net assets would have been 1.75% and the ratio of net investment income to average net assets would have been 0.07%. See accompanying notes to financial statements. 23
LARGE CAP CORE EQUITY FUND--CLASS C FINANCIAL HIGHLIGHTS ============================================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD ------------------------------------------------------------------------------------------------------------------------------ SIX MONTHS ENDED YEAR YEAR YEAR YEAR PERIOD SEPT. 30, ENDED ENDED ENDED ENDED ENDED 2005 MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, (UNAUDITED) 2005 2004 2003 2002 2001(A) ------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period .... $ 9.46 $ 9.08 $ 6.72 $ 9.13 $ 8.88 $ 10.00 --------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income ................. 0.02 0.04 0.01 0.01 0.01 0.01 Net realized and unrealized gains (losses) on investments ........... 0.23 0.37 2.37 (2.41) 0.25 (1.12) --------------------------------------------------------------------------------- Total from investment operations .......... 0.25 0.41 2.38 (2.40) 0.26 (1.11) --------------------------------------------------------------------------------- Dividends from net investment income ...... -- (0.03) (0.02) (0.01) (0.01) (0.01) --------------------------------------------------------------------------------- Net asset value at end of period .......... $ 9.71 $ 9.46 $ 9.08 $ 6.72 $ 9.13 $ 8.88 ================================================================================= Total return(B) ........................... 2.64%(C) 4.52% 35.38% (26.32%) 3.00% (11.12%)(C) ================================================================================= Net assets at end of period (000's) ....... $ 1,282 $ 1,675 $ 2,260 $ 920 $ 900 $ 128 ================================================================================= Ratio of net expenses to average net assets 1.75%(D) 1.75% 1.72%(E) 1.74% 1.75% 1.73%(D) Ratio of net investment income (loss) to average net assets .................... 0.23%(D) 0.41% 0.13%(E) 0.18% (0.05%) (0.46%)(D) Portfolio turnover rate ................... 6%(D) 7% 10% 29% 9% 3%(D)
(A) Represents the period from the commencement of operations (May 16, 2000) through March 31, 2001. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. (E) Absent voluntary expense reimbursements, the ratio of net expenses to average net assets would have been 1.75% and the ratio of net investment income to average net assets would have been 0.10%. See accompanying notes to financial statements. 24
LARGE CAP GROWTH FUND--CLASS A FINANCIAL HIGHLIGHTS =============================================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD ------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS THREE ENDED YEAR MONTHS SEPT. 30, ENDED ENDED YEAR ENDED DECEMBER 31, 2005 MARCH 31, MARCH 31, ------------------------------------------------ (UNAUDITED) 2005 2004(A) 2003 2002 2001 2000 ------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period ....... $ 19.84 $ 17.31 $ 16.53 $ 12.19 $ 16.63 $ 21.73 $ 23.59 ----------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss ....... (0.01) (0.02) (0.03) (0.07) (0.12) (0.13) (0.20) Net realized and unrealized gains (losses) on investments .............. 1.50 2.55 0.81 4.41 (4.32) (4.97) (1.61) ----------------------------------------------------------------------------------------------- Total from investment operations ................ 1.49 2.53 0.78 4.34 (4.44) (5.10) (1.81) ----------------------------------------------------------------------------------------------- Distributions from net realized gains ............ -- -- -- -- -- -- (0.05) ----------------------------------------------------------------------------------------------- Net asset value at end of period ............. $ 21.33 $ 19.84 $ 17.31 $ 16.53 $ 12.19 $ 16.63 $ 21.73 =============================================================================================== Total return(B) .............. 7.51%(C) 14.62% 4.72%(C) 35.60% (26.70%) (23.47%) (7.66%) =============================================================================================== Net assets at end of period (000's) ............ $ 514,859 $ 274,121 $ 69,860 $ 62,187 $ 13,831 $ 20,835 $ 44,068 =============================================================================================== Ratio of net expenses to average net assets ........ 1.13%(D) 1.26% 1.30%(D) 1.39% 1.49% 1.49% 1.48% Ratio of net investment loss to average net assets ..... (0.12%)(D) (0.23%) (0.78%)(D) (0.93%) (0.82%) (0.62%) (1.14%) Portfolio turnover ........... 128%(D) 127% 60%(D) 60% 115% 124% 54%
(A) Effective after the close of business on December 31, 2003, the Fund changed its fiscal year end to March 31. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. See accompanying notes to financial statements. 25
LARGE CAP GROWTH FUND--CLASS B FINANCIAL HIGHLIGHTS =============================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------------------------------------- SIX MONTHS THREE ENDED YEAR MONTHS PERIOD SEPT. 30, ENDED ENDED ENDED 2005 MARCH 31, MARCH 31, DECEMBER 31, (UNAUDITED) 2005 2004(A) 2003(B) --------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period .... $ 19.60 $ 17.24 $ 16.50 $ 15.45 ----------------------------------------------------------------- Income (loss) from investment operations: Net investment loss ................... (0.09) (0.12) (0.03) (0.06) Net realized and unrealized gains on investments .................... 1.49 2.48 0.77 1.11 ----------------------------------------------------------------- Total from investment operations .......... 1.40 2.36 0.74 1.05 ----------------------------------------------------------------- Net asset value at end of period .......... $ 21.00 $ 19.60 $ 17.24 $ 16.50 ================================================================= Total return(C) ........................... 7.14%(D) 13.69% 4.48%(D) 6.80%(D) ================================================================= Net assets at end of period (000's) ....... $ 18,150 $ 10,579 $ 1,897 $ 1,003 ================================================================= Ratio of net expenses to average net assets 2.07%(E) 2.25% 2.25%(E) 2.22%(E) Ratio of net investment loss to average net assets .................... (1.04%)(E) (1.23%) (1.71%)(E) (1.80%)(E) Portfolio turnover rate ................... 128%(E) 127% 60%(E) 60%(E)
(A) Effective after the close of business on December 31, 2003, the Fund changed its fiscal year end to March 31. (B) Represents the period from commencement of operations (October 4, 2003) through December 31, 2003. (C) Total returns shown exclude the effect of applicable sales loads. (D) Not annualized. (E) Annualized. See accompanying notes to financial statements. 26
LARGE CAP GROWTH FUND--CLASS C FINANCIAL HIGHLIGHTS =========================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD ----------------------------------------------------------------------------------------------------------- SIX MONTHS THREE ENDED YEAR MONTHS PERIOD SEPT. 30, ENDED ENDED ENDED 2005 MARCH 31, MARCH 31, DECEMBER 31, (UNAUDITED) 2005 2004(A) 2003(B) ----------------------------------------------------------------------------------------------------------- Net asset value at beginning of period .... $ 19.62 $ 17.24 $ 16.50 $ 15.45 ------------------------------------------------------------- Income (loss) from investment operations: Net investment loss ................... (0.07) (0.08) (0.04) (0.05) Net realized and unrealized gains on investments .................... 1.49 2.46 0.78 1.10 ------------------------------------------------------------- Total from investment operations .......... 1.42 2.38 0.74 1.05 ------------------------------------------------------------- Net asset value at end of period .......... $ 21.04 $ 19.62 $ 17.24 $ 16.50 ============================================================= Total return(C) ........................... 7.24%(D) 13.81% 4.48%(D) 6.80%(D) ============================================================= Net assets at end of period (000's) ....... $ 98,263 $ 48,446 $ 4,310 $ 2,465 ============================================================= Ratio of net expenses to average net assets 1.94%(E) 2.03% 2.25%(E) 2.21%(E) Ratio of net investment loss to average net assets .................... (0.92%)(E) (0.97%) (1.70%)(E) (1.78%)(E) Portfolio turnover rate ................... 128%(E) 127% 60%(E) 60%(E)
(A) Effective after the close of business on December 31, 2003, the Fund changed its fiscal year end to March 31. (B) Represents the period from commencement of operations (October 4, 2003) through December 31, 2003. (C) Total returns shown exclude the effect of applicable sales loads. (D) Not annualized. (E) Annualized. See accompanying notes to financial statements. 27
LARGE CAP GROWTH FUND--CLASS I FINANCIAL HIGHLIGHTS ========================================================================================= PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD ----------------------------------------------------------------------------------------- SIX MONTHS ENDED PERIOD SEPT. 30, ENDED 2005 MARCH 31, (UNAUDITED) 2005(A) ----------------------------------------------------------------------------------------- Net asset value at beginning of period ................. $ 19.86 $ 18.34 ---------------------------- Income from investment operations: Net investment income .............................. 0.01 0.01 Net realized and unrealized gains on investments ... 1.50 1.51 ---------------------------- Total from investment operations ....................... 1.51 1.52 ---------------------------- Net asset value at end of period ....................... $ 21.37 $ 19.86 ============================ Total return(B) ........................................ 7.60% 8.29% ============================ Net assets at end of period (000's) .................... $ 49,402 $ 43,279 ============================ Ratio of net expenses to average net assets (C) ........ 0.91% 1.01% Ratio of net investment income to average net assets (C) 0.14% 0.21% Portfolio turnover rate(C) ............................. 128% 127%
(A) Represents the period from commencement of operations (November 10, 2004) through March 31, 2005. (B) Not annualized. (C) Annualized. See accompanying notes to financial statements. 28
MICRO CAP GROWTH FUND--CLASS A FINANCIAL HIGHLIGHTS ======================================================================================= PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------------- SIX MONTHS ENDED PERIOD SEPT. 30, ENDED 2005 MARCH 31, (UNAUDITED) 2005 (A) --------------------------------------------------------------------------------------- Net asset value at beginning of period .............. $ 11.07 $ 10.00 ----------------------------- Income (loss) from investment operations: Net investment loss ............................. (0.05) (0.06) Net realized and unrealized gains on investments 0.68 1.13 ----------------------------- Total from investment operations .................... 0.63 1.07 ----------------------------- Net asset value at end of period .................... $ 11.70 $ 11.07 ============================= Total return(B) ..................................... 5.69% 10.70% ============================= Net assets at end of period (000's) ................. $ 42,052 $ 32,378 ============================= Ratio of net expenses to average net assets(C) ...... 1.95% 1.95% Ratio of net investment loss to average net assets(C) (0.99%) (1.27%) Portfolio turnover rate(C) .......................... 87% 101%
(A) Represents the period from commencement of operations (June 22, 2004) through March 31, 2005. (B) Total returns shown exclude the effect of applicable sales loads and are not annualized. (C) Annualized. See accompanying notes to financial statements. 29
MICRO CAP GROWTH FUND--CLASS C FINANCIAL HIGHLIGHTS ======================================================================================= PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------------- SIX MONTHS ENDED PERIOD SEPT. 30, ENDED 2005 MARCH 31, (UNAUDITED) 2005 (A) --------------------------------------------------------------------------------------- Net asset value at beginning of period .............. $ 11.01 $ 10.00 ----------------------------- Income (loss) from investment operations: Net investment loss ............................. (0.09) (0.08) Net realized and unrealized gains on investments 0.68 1.09 ----------------------------- Total from investment operations .................... 0.59 1.01 ----------------------------- Net asset value at end of period .................... $ 11.60 $ 11.01 ============================= Total return(B) ..................................... 5.36% 10.10% ============================= Net assets at end of period (000's) ................. $ 22,216 $ 16,224 ============================= Ratio of net expenses to average net assets(C) ...... 2.70% 2.70% Ratio of net investment loss to average net assets(C) (1.74%) (2.07%) Portfolio turnover rate(C) .......................... 87% 101%
(A) Represents the period from commencement of operations (June 22, 2004) through March 31, 2005. (B) Total returns shown exclude the effect of applicable sales loads and are not annualized. (C) Annualized. See accompanying notes to financial statements. 30
MICRO CAP GROWTH FUND--CLASS I FINANCIAL HIGHLIGHTS ======================================================================================= PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------------- SIX MONTHS ENDED PERIOD SEPT. 30, ENDED 2005 MARCH 31, (UNAUDITED) 2005 (A) --------------------------------------------------------------------------------------- Net asset value at beginning of period .............. $ 11.16 $ 9.89 ----------------------------- Income (loss) from investment operations: Net investment loss ............................. (0.02) (0.13) Net realized and unrealized gains on investments 0.70 1.40 ----------------------------- Total from investment operations .................... 0.68 1.27 ----------------------------- Net asset value at end of period .................... $ 11.84 $ 11.16 ============================= Total return(B) ..................................... 6.09% 12.84% ============================= Net assets at end of period (000's) ................. $ 13 $ --(C) ============================= Ratio of net expenses to average net assets(D) ...... 1.55% 1.55% Ratio of net investment loss to average net assets(D) (0.51%) (2.34%) Portfolio turnover rate(D) .......................... 87% 101%
(A) Represents the period from commencement of operations (October 4, 2004) through March 31, 2005. (B) Not Annualized. (C) Amount rounds to less than $1,000. (D) Annualized. See accompanying notes to financial statements. 31
SMALL CAP GROWTH FUND--CLASS A FINANCIAL HIGHLIGHTS ========================================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD -------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR YEAR PERIOD SEPT.30, ENDED ENDED ENDED 2005 MARCH 31, MARCH 31, MARCH 31, (UNAUDITED) 2005 2004 2003(A) -------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period ....... $ 15.25 $ 16.05 $ 9.78 $ 10.00 ----------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss ...................... (0.09) (0.25) (0.14) (0.06) Net realized and unrealized gains (losses) on investments ........................ 1.24 (0.14) 6.78 (0.16) ----------------------------------------------------------------------- Total from investment operations ............. 1.15 (0.39) 6.64 (0.22) ----------------------------------------------------------------------- Distributions from net realized gains ........ -- (0.41) (0.37) -- ----------------------------------------------------------------------- Net asset value at end of period ............. $ 16.40 $ 15.25 $ 16.05 $ 9.78 ======================================================================= Total return(B) .............................. 7.54%(C) (2.43%) 68.02% (2.20%)(C) ======================================================================= Net assets at end of period (000's) .......... $ 43,590 $ 37,675 $ 53,064 $ 15,230 ======================================================================= Ratio of net expenses to average net assets .. 1.95%(D) 1.95% 1.89%(E) 1.95%(D) Ratio of net investment loss to average net assets ....................... (1.14%)(D) (1.40%) (1.34%)(E) (1.61%)(D) Portfolio turnover ........................... 99%(D) 114% 133% 128%(D)
(A) Represents the period from commencement of operations (October 21, 2002) through March 31, 2003. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. (E) Absent voluntary expense reimbursements, the ratio of net expenses to average net assets would have been 1.95% and ratio of net investment loss to average net assets would have been (1.40%). See accompanying notes to financial statements. 32
SMALL CAP GROWTH FUND--CLASS B FINANCIAL HIGHLIGHTS ========================================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD -------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR YEAR PERIOD SEPT. 30, ENDED ENDED ENDED 2005 MARCH 31, MARCH 31, MARCH 31, (UNAUDITED) 2005 2004 2003(A) -------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period ....... $ 14.99 $ 15.90 $ 9.75 $ 10.00 ----------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss ...................... (0.15) (0.29) (0.21) (0.06) Net realized and unrealized gains (losses) on investments ....................... 1.25 (0.21) 6.73 (0.19) ----------------------------------------------------------------------- Total from investment operations ............. 1.10 (0.50) 6.52 (0.25) ----------------------------------------------------------------------- Distributions from net realized gains ........ -- (0.41) (0.37) -- ----------------------------------------------------------------------- Net asset value at end of period ............. $ 16.09 $ 14.99 $ 15.90 $ 9.75 ======================================================================= Total return(B) .............................. 7.34%(C) (3.15%) 66.99% (2.50%)(C) ======================================================================= Net assets at end of period (000's) .......... $ 9,426 $ 8,908 $ 7,831 $ 1,399 ======================================================================= Ratio of net expenses to average net assets .. 2.70%(D) 2.70% 2.63%(E) 2.69%(D) Ratio of net investment loss to average net assets ....................... (1.88%)(D) (2.13%) (2.09%)(E) (2.38%)(D) Portfolio turnover ........................... 99%(D) 114% 133% 128%(D)
(A) Represents the period from commencement of operations (October 21, 2002) through March 31, 2003. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. (E) Absent voluntary expense reimbursements, the ratio of net expenses to average net assets would have been 2.70% and the ratio of net investment loss to average net assets would have been (2.16%). See accompanying notes to financial statements. 33
SMALL CAP GROWTH FUND--CLASS C FINANCIAL HIGHLIGHTS ========================================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD -------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR YEAR PERIOD SEPT. 30, ENDED ENDED ENDED 2005 MARCH 31, MARCH 31, MARCH 31, (UNAUDITED) 2005 2004 2003(A) -------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period ....... $ 15.00 $ 15.91 $ 9.74 $ 10.00 ----------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss ...................... (0.15) (0.29) (0.21) (0.07) Net realized and unrealized gains (losses) on investments ....................... 1.25 (0.21) 6.75 (0.19) ----------------------------------------------------------------------- Total from investment operations ............. 1.10 (0.50) 6.54 (0.26) ----------------------------------------------------------------------- Distributions from net realized gains ........ -- (0.41) (0.37) -- ----------------------------------------------------------------------- Net asset value at end of period ............. $ 16.10 $ 15.00 $ 15.91 $ 9.74 ======================================================================= Total return(B) .............................. 7.33%(C) (3.15%) 67.26% (2.60%)(C) ======================================================================= Net assets at end of period (000's) .......... $ 20,345 $ 18,776 $ 14,596 $ 3,029 ======================================================================= Ratio of net expenses to average net assets .. 2.70%(D) 2.70% 2.63%(E) 2.69%(D) Ratio of net investment loss to average net assets ....................... (1.88%)(D) (2.12%) (2.09%)(E) (2.39%)(D) Portfolio turnover ........................... 99%(D) 114% 133% 128%(D)
(A) Represents the period from commencement of operations (October 21, 2002) through March 31, 2003. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. (E) Absent voluntary expense reimbursements, the ratio of net expenses to average net assets would have been 2.70% and the ratio of net investment loss to average net assets would have been (2.16%). See accompanying notes to financial statements. 34
SMALL CAP GROWTH FUND--CLASS I FINANCIAL HIGHLIGHTS ======================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD ---------------------------------------------------------------------------------------- SIX MONTHS ENDED PERIOD SEPT. 30, ENDED 2005 MARCH 31, (UNAUDITED) 2005 (A) ---------------------------------------------------------------------------------------- Net asset value at beginning of period ............... $ 15.31 $ 15.37 ----------------------------- Income (loss) from investment operations: Net investment loss .............................. (0.04) (0.05) Net realized and unrealized gains on investments 1.22 0.40 ----------------------------- Total from investment operations ..................... 1.18 0.35 ----------------------------- Distributions from net realized gains ................ -- (0.41) ----------------------------- Net asset value at end of period ..................... $ 16.49 $ 15.31 ============================= Total return(B) ...................................... 7.71% 2.29% ============================= Net assets at end of period (000's) .................. $ 175,030 $ 82,846 ============================= Ratio of net expenses to average net assets (C) ...... 1.55% 1.55% Ratio of net investment loss to average net assets (C) (0.71%) (0.95%) Portfolio turnover (C) ............................... 99% 114%
(A) Represents the period from commencement of operations (May 5, 2004) through March 31, 2005. (B) Not annualized. (C) Annualized. See accompanying notes to financial statements. 35
VALUE PLUS FUND--CLASS A FINANCIAL HIGHLIGHTS ============================================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD ------------------------------------------------------------------------------------------------------------------------------ SIX MONTHS THREE ENDED YEAR YEAR YEAR YEAR MONTHS YEAR SEPT.30, ENDED ENDED ENDED ENDED ENDED ENDED 2005 MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, DEC. 31, (UNAUDITED) 2005 2004 2003 2002 2001(A) 2000 ------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period ....... $ 10.74 $ 10.14 $ 7.45 $ 10.49 $ 10.27 $ 10.74 $ 11.77 ---------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income ..... 0.02 0.04 0.06 0.05 0.02 0.01 0.06 Net realized and unrealized gains (losses) on investments .............. 0.28 0.60 2.69 (3.05) 0.22 (0.47) 0.12 ---------------------------------------------------------------------------------------------- Total from investment operations ................ 0.30 0.64 2.75 (3.00) 0.24 (0.46) 0.18 ---------------------------------------------------------------------------------------------- Less distributions: Dividends from net investment income ........ -- (0.04) (0.06) (0.04) (0.02) (0.01) (0.06) Distributions from net realized gains ........... -- -- -- -- -- -- (0.92) Return of capital ......... -- -- -- -- -- -- (0.23) ---------------------------------------------------------------------------------------------- Total distributions .......... -- (0.04) (0.06) (0.04) (0.02) (0.01) (1.21) ---------------------------------------------------------------------------------------------- Net asset value at end of period ................. $ 11.04 $ 10.74 $ 10.14 $ 7.45 $ 10.49 $ 10.27 $ 10.74 ============================================================================================== Total return(B) .............. 2.79%(C) 6.34% 37.04% (28.59%) 2.34% (4.29%)(C) 1.91% ============================================================================================== Net assets at end of period (000's) ............ $ 73,892 $ 73,600 $ 64,612 $ 46,113 $ 93,214 $ 51,442 $ 49,807 ============================================================================================== Ratio of net expenses to average net assets ........ 1.30%(D) 1.30% 1.30% 1.30% 1.30% 1.30%(D) 1.30% Ratio of net investment income to average net assets ..... 0.62%(D) 0.46% 0.68% 0.58% 0.23% 0.37%(D) 0.51% Portfolio turnover ........... 66%(D) 29% 44% 58% 33% 48%(D) 83%
(A) Effective after the close of business on December 31, 2000, the Fund changed its fiscal year-end to March 31. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. See accompanying notes to financial statements. 36
VALUE PLUS FUND--CLASS B FINANCIAL HIGHLIGHTS ================================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD ------------------------------------------------------------------------------------------------------------------ SIX MONTHS ENDED YEAR YEAR YEAR PERIOD SEPT. 30, ENDED ENDED ENDED ENDED 2005 MARCH 31, MARCH 31, MARCH 31, MARCH 31, (UNAUDITED) 2005 2004 2003 2002(A) ------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period ....... $ 10.27 $ 9.73 $ 7.18 $ 10.18 $ 10.72 ------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss ...................... (0.01) (0.03) --(B) --(B) (0.01) Net realized and unrealized gains (losses) on investments ....................... 0.25 0.57 2.58 (2.96) (0.53) ------------------------------------------------------------------ Total from investment operations ............. 0.24 0.54 2.58 (2.96) (0.54) ------------------------------------------------------------------ Dividends from net investment income ......... -- -- (0.03) (0.04) -- ------------------------------------------------------------------ Net asset value at end of period ............. $ 10.51 $ 10.27 $ 9.73 $ 7.18 $ 10.18 ================================================================== Total return(C) .............................. 2.34%(D) 5.55% 36.04% (29.05%) (5.01%)(D) ================================================================== Net assets at end of period (000's) .......... $ 855 $ 876 $ 753 $ 367 $ 130 ================================================================== Ratio of net expenses to average net assets .. 2.05%(E) 2.05% 2.05% 2.05% 2.05%(E) Ratio of net investment loss to average net assets ....................... (0.14%)(E) (0.29%) (0.09%) (0.06%) (0.77%)(E) Portfolio turnover rate ...................... 66%(E) 29% 44% 58% 33%(E)
(A) Represents the period from the commencement of operations (May 1, 2001) through March 31, 2002. (B) Amount rounds to less than $0.01 per share. (C) Total returns shown exclude the effect of applicable sales loads. (D) Not annualized. (E) Annualized. See accompanying notes to financial statements. 37
VALUE PLUS FUND--CLASS C FINANCIAL HIGHLIGHTS ============================================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD ------------------------------------------------------------------------------------------------------------------------------ SIX MONTHS THREE ENDED YEAR YEAR YEAR YEAR MONTHS YEAR SEPT. 30, ENDED ENDED ENDED ENDED ENDED ENDED 2005 MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, DEC. 31, (UNAUDITED) 2005 2004 2003 2002 2001(A) 2000 ------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period ....... $ 10.33 $ 9.78 $ 7.22 $ 10.18 $ 10.02 $ 10.50 $ 11.48 ---------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss ....... (0.01) (0.03) --(B) (0.02) (0.04) (0.01) (0.02) Net realized and unrealized gains (losses) on investments .............. 0.25 0.58 2.59 (2.94) 0.20 (0.47) 0.19 ---------------------------------------------------------------------------------------------- Total from investment operations ................ 0.24 0.55 2.59 (2.96) 0.16 (0.48) 0.17 ---------------------------------------------------------------------------------------------- Less distributions: Dividends from net investment income ........ -- -- (0.03) -- -- -- -- Distributions from net realized gains ....... -- -- -- -- -- -- (0.92) Return of capital ......... -- -- -- -- -- -- (0.23) ---------------------------------------------------------------------------------------------- Total distributions .......... -- -- (0.03) -- -- -- (1.15) ---------------------------------------------------------------------------------------------- Net asset value at end of period ................. $ 10.57 $ 10.33 $ 9.78 $ 7.22 $ 10.18 $ 10.02 $ 10.50 ============================================================================================== Total return(C) .............. 2.32%(D) 5.62% 35.89% (29.08%) 1.60% (4.57%)(D) 1.87% ============================================================================================== Net assets at end of period (000's) ............ $ 1,737 $ 1,851 $ 1,867 $ 1,512 $ 2,548 $ 1,705 $ 2,011 ============================================================================================== Ratio of net expenses to average net assets ........ 2.05%(E) 2.05% 2.05% 2.05% 2.05% 2.05%(E) 2.05% Ratio of net investment loss to average net assets ..... (0.14%)(E) (0.29%) (0.05%) (0.15%) (0.51%) (0.33%)(E) (0.21%) Portfolio turnover ........... 66%(E) 29% 44% 58% 33% 48%(E) 83%
(A) Effective after the close of business on December 31, 2000, the Fund changed its fiscal year-end to March 31. (B) Amount rounds to less than $0.01 per share. (C) Total returns shown exclude the effect of applicable sales loads. (D) Not annualized. (E) Annualized. See accompanying notes to financial statements. 38 NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2005 (UNAUDITED) ================================================================================ 1. ORGANIZATION The Emerging Growth Fund, Growth Opportunities Fund, Large Cap Core Equity Fund, Large Cap Growth Fund, Micro Cap Growth Fund, Small Cap Growth Fund, and Value Plus Fund (individually, a Fund, and collectively, the Funds) are each a series of Touchstone Strategic Trust (the Trust). The Trust is registered under the Investment Company Act of 1940, as amended (the Act), as an open-end management investment company. The Trust was established as a Massachusetts business trust under a Declaration of Trust dated November 18, 1982. The Declaration of Trust, as amended, permits the Trustees to issue an unlimited number of shares of each Fund. Prior to May 1, 2000, the Emerging Growth Fund and Value Plus Fund were part of the Touchstone Series Trust, a Massachusetts business trust organized on February 7, 1994 and registered under the Act as an open-end management investment company. Effective May 1, 2000, the Funds were merged into separate series of the Trust and their fiscal year ends were subsequently changed from December 31 to March 31. Prior to October 4, 2003, the Large Cap Growth Fund was a series of the Navellier Funds. Effective October 4, 2003, the Navellier Performance Large Cap Growth Portfolio and the Navellier Millennium Large Cap Growth Portfolio were merged into the Large Cap Growth Fund. The accounting and performance history of the Navellier Performance Large Cap Growth Portfolio was carried forward. The Large Cap Growth Fund was the legal and tax survivor. Effective January 1, 2004, the Fund changed its fiscal year end from December 31 to March 31. The Emerging Growth Fund seeks to increase the value of Fund shares as a primary goal and to earn income as a secondary goal by investing primarily (at least 65% of its assets) in emerging growth companies. The Growth Opportunities Fund seeks long-term capital appreciation primarily through equity investments in companies whose valuation may not reflect the prospects for accelerated earnings/cash flow growth. The Fund invests primarily in stocks of mid to large cap domestic growth companies that the sub-advisor believes have a demonstrated record of achievement with excellent prospects for earnings and/or cash flow growth over a 3 to 5 year period. The Large Cap Core Equity Fund seeks long-term capital appreciation as its primary goal by investing at least 80% of its total assets in common stocks of large cap companies. Income is a secondary goal. The Large Cap Growth Fund seeks long-term growth of capital. Under normal circumstances, the Fund will invest at least 80% of its assets in common stocks of large cap companies. The Micro Cap Growth Fund seeks long-term growth of capital. Under normal circumstances, the Fund will invest at least 80% of its assets in the common stocks of U.S. companies whose total market capitalization at the time of investment is generally between $30 million and $300 million, referred to as micro cap companies, and which, in the opinion of the sub-advisor, have superior earnings growth characteristics. The Small Cap Growth Fund seeks long-term growth of capital. Under normal circumstances, the Fund will invest at least 80% of its assets in common stocks of small cap companies. The Value Plus Fund seeks to increase the value of Fund shares over the long-term by investing primarily (at least 65% of its assets) in common stocks of larger companies that the sub-advisor believes are undervalued. 39 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================ The Emerging Growth Fund, Growth Opportunities Fund, Large Cap Core Equity Fund, Micro Cap Growth Fund, and Value Plus Fund offer three classes of shares: Class A shares (currently sold subject to a maximum front-end sales load of 5.75% and a maximum distribution fee of up to 0.25%), Class B shares, except Micro Cap Growth Fund, (sold subject to a maximum contingent deferred sales load of 5.00% for a one-year period and incrementally reduced over time and a maximum distribution fee of up to 1.00% of average daily net assets), Class C shares (sold subject to a 1.00% contingent deferred sales load for a one-year period and a maximum distribution fee of up to 1.00% of average daily net assets), and Class I shares of Micro Cap Growth Fund (sold without a distribution fee or sales charge, but offered only through selected dealers and subject to a higher minimum initial investment). The Large Cap Growth Fund and Small Cap Growth Fund offer four classes of shares: Class A shares, Class B shares, Class C shares and Class I shares (all described above). Each Class A, Class B, Class C and Class I share of a Fund represents identical interests in the investment portfolio of such Fund and has the same rights, except that (i) Class B and Class C shares bear the expenses of higher distribution fees, which is expected to cause Class B and Class C shares to have a higher expense ratio and to pay lower dividends than Class A and Class I shares; (ii) certain other class specific expenses will be borne solely by the class to which such expenses are attributable; and (iii) each class has exclusive voting rights with respect to matters relating to its own distribution arrangements. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of the Funds' significant accounting policies: SECURITY VALUATION -- The Funds' portfolio securities are valued as of the close of the regular session of trading on the New York Stock Exchange (currently 4:00 p.m., Eastern time). Portfolio securities traded on stock exchanges are valued at the last sale price and portfolio securities quoted by NASDAQ are valued at the NASDAQ Official Closing Price (NOCP). Securities not traded on a particular day, or for which the last sale price is not readily available, are valued at their last broker-quoted bid prices as obtained from one or more of the major market makers for such securities by an independent pricing service. Securities for which market quotations or the NOCP are not readily available are valued based on fair value as determined by or under the direction of the Board of Trustees. Money market instruments and other debt securities with a remaining maturity of less than 60 days are valued at amortized cost, which approximates market. Shares of open-end mutual funds in which the Funds invest are valued at their respective net asset values as reported by the underlying funds. 40 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================ PORTFOLIO SECURITIES LOANED -- Each Fund may lend its portfolio securities. Lending portfolio securities exposes a Fund to the risk that the borrower may fail to return the loaned securities or may not be able to provide additional collateral or that the Fund may experience delays in recovery of the loaned securities or loss of rights in the collateral if the borrower fails financially. To minimize these risks, the borrower must agree to maintain collateral marked to market daily, in the form of cash and/or liquid securities, with the Fund's Custodian in an amount at least equal to the market value of the loaned securities. As September 30, 2005, the following Funds loaned common stocks and received collateral as follows: -------------------------------------------------------------------------------- Fair Value of Common Value of Stocks Loaned Collateral Received -------------------------------------------------------------------------------- Emerging Growth Fund $88,131,934 $90,915,822 Large Cap Core Equity Fund $ 148,002 $ 151,300 Large Cap Growth Fund $19,433,536 $19,851,996 Micro Cap Growth Fund $17,050,621 $17,591,183 Small Cap Growth Fund $56,002,458 $57,727,317 Value Plus Fund $ 2,590,585 $ 2,661,772 -------------------------------------------------------------------------------- All collateral received as cash and securities is received, held and administered by the Funds' custodian for the benefit of the Funds in the applicable custody account or other account established for the purpose of holding collateral. Funds participating in securities lending receive compensation in the form of fees, or retain a portion of interest or dividends on the investment of any cash received as collateral. The Funds also continue to receive interest or dividends on the securities loaned. The loans are secured by collateral valued at least equal, at all times, to the fair value of the securities loaned plus accrued interest. Unrealized gain or loss on the fair value of the securities loaned that may occur during the term of the loan are recognized by the Funds. The Funds have the right under the lending agreement to recover the securities from the borrower on demand. SHARE VALUATION -- The net asset value per share of each class of shares of each Fund is calculated daily by dividing the total value of a Fund's assets attributable to that class, less liabilities attributable to that class, by the number of outstanding shares of that class. The maximum offering price per share of Class A shares of the Funds is equal to the net asset value per share plus a sales load equal to 6.10% of the net asset value (or 5.75% of the offering price). The maximum offering price per share of Class B, Class C and Class I shares of the Funds is equal to the net asset value per share. The redemption price per share of each class of shares of the Funds is equal to the net asset value per share. However, Class B and Class C shares of the Funds are subject to a contingent deferred sales load of 5.00% and 1.00%, respectively, of the original purchase price if redeemed within a one-year period from the date of purchase. The contingent deferred sales load for Class B shares will be incrementally reduced over time. After the 6th year, there is no contingent deferred sales load for Class B shares. INVESTMENT INCOME -- Interest income is accrued as earned. Dividend income is recorded on the ex-dividend date. Discounts and premiums on securities purchased are recorded on an accrual basis. 41 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================ DISTRIBUTIONS TO SHAREHOLDERS -- Dividends arising from net investment income, if any, are declared and paid to shareholders annually for each Fund. With respect to each Fund, net realized short-term capital gains, if any, may be distributed throughout the year and net realized long-term capital gains, if any, are distributed at least once each year. Income dividends and capital gain distributions are determined in accordance with income tax regulations. ALLOCATIONS -- Investment income earned, realized capital gains and losses, and unrealized appreciation and depreciation for the Funds are allocated daily to each class of shares based upon its proportionate share of total net assets of the Fund. Class specific expenses are charged directly to the class incurring the expense. Common expenses, which are not attributable to a specific class, are allocated daily to each class of shares based upon its proportionate share of total net assets of the Fund. Expenses not directly billed to a Fund are allocated proportionally among all Funds daily in relation to net assets of each Fund or another reasonable measure. SECURITY TRANSACTIONS -- Security transactions are accounted for on the trade date. Securities sold are determined on a specific identification basis. ESTIMATES -- The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. FEDERAL INCOME TAX -- It is each Fund's policy to comply with the special provisions of the Internal Revenue Code applicable to regulated investment companies. As provided therein, in any fiscal year in which a Fund so qualifies and distributes at least 90% of its taxable net income, the Fund (but not the shareholders) will be relieved of federal income tax on the income distributed. Accordingly, no provision for income taxes has been made. In order to avoid imposition of the excise tax applicable to regulated investment companies, it is also each Fund's intention to declare and pay as dividends in each calendar year at least 98% of its net investment income (earned during the calendar year) and 98% of its net realized capital gains (earned during the twelve months ending October 31) plus undistributed amounts from prior years. The tax character of distributions paid for the years ended March 31, 2005 and 2004 was as follows:
----------------------------------------------------------------------------------------------------------------------------------- EMERGING GROWTH LARGE CAP GROWTH OPPORTUNITIES CORE EQUITY FUND FUND FUND ----------------------------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, 2005 2004 2005 2004 2005 2004 ----------------------------------------------------------------------------------------------------------------------------------- From ordinary income ............ $ -- $ -- $ -- $ -- $ 116,337 $ 52,387 From long-term capital gains ... 51,761,552 -- -- -- -- -- ------------------------------------------------------------------------------------------------ $51,761,552 $ -- $ -- $ -- $ 116,337 $ 52,387 ================================================================================================ -----------------------------------------------------------------------------------------------------------------------------------
42 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================
----------------------------------------------------------------------------------------------------------------- LARGE CAP MICRO CAP SMALL CAP GROWTH GROWTH GROWTH FUND FUND FUND ----------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, 2005 2004 2005 2005 2004 ----------------------------------------------------------------------------------------------------------------- From ordinary income .................... $ -- $ -- $ -- $1,709,786 $1,229,562 From long-term capital gains ............ -- -- -- 1,330,596 68,424 ---------------------------------------------------------------------- $ -- $ -- $ -- $3,040,382 $1,297,986 ====================================================================== -----------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------- VALUE PLUS FUND ------------------------------------------------------------------------------- YEAR YEAR ENDED ENDED MARCH 31, MARCH 31, 2005 2004 ------------------------------------------------------------------------------- From ordinary income ........................... $ 320,278 $ 404,737 From long-term capital gains ................... -- -- --------------------------- $ 320,278 $ 404,737 =========================== ------------------------------------------------------------------------------- The following information is computed on a tax basis for each item as of March 31, 2005:
--------------------------------------------------------------------------------------------- EMERGING GROWTH LARGE CAP GROWTH OPPORTUNITIES CORE EQUITY FUND FUND FUND --------------------------------------------------------------------------------------------- Cost of portfolio investments ....... $ 909,711,410 $ 102,584,187 $ 10,752,631 =================================================== Gross unrealized appreciation ....... 131,587,458 20,007,616 2,397,561 Gross unrealized depreciation ....... (29,781,907) (13,087,145) (692,881) --------------------------------------------------- Net unrealized appreciation ......... 101,805,551 6,920,471 1,704,680 Post-October losses ................. -- (91,049) -- Capital loss carryforward ........... -- (65,503,842) (1,576,191) Undistributed ordinary income ....... -- -- 20,160 Undistributed long-term capital gains 14,612,196 -- -- =================================================== Accumulated earnings (deficit) .. $ 116,417,747 $ (58,674,420) $ 148,649 =================================================== ---------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------- LARGE CAP MICRO CAP SMALL CAP VALUE GROWTH GROWTH GROWTH PLUS FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------- Cost of portfolio investments .... $ 338,919,830 $ 52,563,541 $ 149,152,874 $ 66,750,247 ====================================================================== Gross unrealized appreciation .... 47,012,735 8,314,208 21,390,492 12,737,912 Gross unrealized depreciation .... (2,269,813) (1,947,575) (6,338,130) (3,561,284) ---------------------------------------------------------------------- Net unrealized appreciation ...... 44,742,922 6,366,633 15,052,362 9,176,628 Post-October losses .............. (1,985,495) (1,619,901) -- -- Capital loss carryforward ........ (58,093,648) (1,123,992) (1,952,789) (12,685,348) Undistributed ordinary income .... -- -- -- 86,810 ---------------------------------------------------------------------- Accumulated earnings (deficit) $ (15,336,221) $ 3,622,740 $ 13,099,573 $ (3,421,910) ====================================================================== -------------------------------------------------------------------------------------------------------------
43 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================ As of September 30, 2005, the Funds had the following gross unrealized appreciation, gross unrealized depreciation and Federal tax cost:
----------------------------------------------------------------------------------------------- GROSS GROSS NET FEDERAL UNREALIZED UNREALIZED UNREALIZED TAX APPRECIATION DEPRECIATION APPRECIATION COST ----------------------------------------------------------------------------------------------- Emerging Growth Fund ........ $169,105,860 $(37,575,343) $131,530,517 $921,399,475 Growth Opportunities Fund ... $ 22,307,493 $ (9,795,730) $ 12,511,763 $ 98,618,142 Large Cap Core Equity Fund .. $ 2,843,656 $ (674,705) $ 2,168,951 $ 10,844,663 Large Cap Growth Fund ....... $ 92,552,780 $ (9,875,412) $ 82,677,368 $615,643,228 Micro Cap Growth Fund ....... $ 14,264,997 $ (2,184,916) $ 12,080,081 $ 69,557,381 Small Cal Growth Fund ....... $ 38,327,857 $ (8,523,839) $ 29,804,018 $277,125,949 Value Plus Fund ............. $ 11,753,626 $ (4,027,421) $ 7,726,205 $ 71,440,937 -----------------------------------------------------------------------------------------------
The difference between the tax cost of portfolio investments and the financial statement cost is primarily due to wash sales. As of March 31, 2005, the Funds had the following capital loss carryforwards for federal income tax purposes. -------------------------------------------------------------------------------- EXPIRES FUND AMOUNT MARCH 31, -------------------------------------------------------------------------------- Growth Opportunities Fund.................. $ 2,005,441 2009 22,448,509 2010 21,975,058 2011 17,098,132 2012 1,976,702 2013 ----------- 65,503,842 =========== Large Cap Core Equity Fund................. $ 99,480 2009 24,780 2010 414,728 2011 1,025,778 2012 11,425 2013 ----------- 1,576,191 =========== Large Cap Growth Fund*..................... $ 1,492,563 2008 17,152,658 2009 14,651,843 2010 19,675,611 2011 3,322,314 2012 1,798,659 2013 ----------- 58,093,648 =========== Micro Cap Growth Fund...................... $ 1,123,992 2013 =========== Small Cap Growth Fund...................... $ 1,952,789 2013 =========== Value Plus Fund............................ $ 4,556,010 2011 8,129,338 2012 ----------- 12,685,348 =========== *A portion of these capital loss carryforwards may be limited under tax regulations. 44 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================ During the year ended March 31, 2005, the Value Plus Fund utilized $1,479,372 of capital loss carryforwards. The capital loss carryforwards and Post-October losses may be utilized in future years to offset net realized capital gains, if any, prior to distributing such gains to shareholders. Certain reclassifications, the result of permanent differences between financial statement and income tax reporting requirements have been made to the components of capital. These reclassifications have no impact on the net assets or net asset value per share of the Funds and are designed to present the Fund's capital accounts on a tax basis. The following reclassifications of net investment loss have been made to the following Funds for the year ended March 31, 2005:
---------------------------------------------------------------------------------------------- ACCUMULATED ACCUMULATED PAID-IN NET INVESTMENT NET REALIZED CAPITAL INCOME (LOSS) GAINS (LOSSES) ---------------------------------------------------------------------------------------------- Emerging Growth Fund .............. $ (606,847) $ 9,852,791 $ (9,245,944) Growth Opportunities Fund ......... (1,658,581) 1,658,581 -- Large Cap Growth Fund ............. (547,767) 547,767 -- Micro Cap Growth Fund ............. (306,311) 306,311 -- Small Cap Growth Fund ............. (1,447,744) 1,449,143 (1,399) ----------------------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS Investment transactions (excluding short-term investments and U.S. Government securities) were as follows for the six months ended September 30, 2005:
---------------------------------------------------------------------------------------------------------------- EMERGING GROWTH LARGE CAP LARGE CAP GROWTH OPPORTUNITIES CORE EQUITY GROWTH FUND FUND FUND FUND ---------------------------------------------------------------------------------------------------------------- Purchases of investment securities ......... $296,614,344 $ 44,009,827 $ 353,566 $573,697,406 --------------------------------------------------------------- Proceeds from sales and maturities of investment securities ............... $342,339,439 $ 52,859,947 $ 586,928 $322,725,576 --------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------- MICRO CAP SMALL CAP GROWTH GROWTH VALUE PLUS FUND FUND FUND ----------------------------------------------------------------------------------------------- Purchases of investment securities ......... $ 37,772,078 $166,513,504 $ 24,460,337 ---------------------------------------------- Proceeds from sales and maturities of investment securities ............... $ 24,434,269 $ 89,491,137 $ 27,448,547 ---------------------------------------------- -----------------------------------------------------------------------------------------------
4. TRANSACTIONS WITH AFFILIATES Certain officers of the Trust are also officers of Touchstone Advisors, Inc. (the Advisor), the Trust's investment advisor, or Touchstone Securities, Inc. (the Underwriter), the Trust's principal underwriter, or Integrated Fund Services, Inc. (Integrated), the Trust's administrator, transfer agent and accounting services agent. The Advisor, the Underwriter and Integrated are each wholly-owned, indirect subsidiaries of The Western and Southern Life Insurance Company. 45 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================ MANAGEMENT AGREEMENTS The Advisor provides general investment supervisory services for the Funds, under the terms of an Advisory Agreement. Under the Advisory Agreement, the Funds pay the Advisor a fee, which is computed and accrued daily and paid monthly, at an annual rate based on average daily net assets as follows: -------------------------------------------------------------------------------- Emerging Growth Fund 0.80% -------------------------------------------------------------------------------- Growth Opportunities Fund 1.00% on the first $50 million 0.90% on the next $50 million 0.80% on the next $100 million 0.75% of such assets in excess of $200 million -------------------------------------------------------------------------------- Large Cap Core Equity Fund 0.65% on the first $100 million 0.60% on the next $100 million 0.55% on the next $100 million 0.50% of such assets in excess of $300 million -------------------------------------------------------------------------------- Large Cap Growth Fund 0.75% on the first $200 million 0.70% on the next $800 million 0.65% of such assets in excess of $1 billion -------------------------------------------------------------------------------- Micro Cap Growth Fund 1.25% -------------------------------------------------------------------------------- Small Cap Growth Fund 1.25% -------------------------------------------------------------------------------- Value Plus Fund 0.75% on the first $100 million 0.70% on the next $100 million 0.65% on the next $100 million 0.60% of such assets in excess of $300 million -------------------------------------------------------------------------------- During the six months ended September 30, 2005, the Advisor waived investment advisory fees and/or reimbursed expenses of the Funds as follows: Large Cap Core Equity Fund $ 76,824 Large Cap Growth Fund $ 2,994 Micro Cap Growth Fund $ 9,400 Value Plus Fund $ 3,739 The Advisor has retained various Sub-Advisors to manage the investments of the Funds under the terms of a Sub-Advisory Agreement. The Advisor (not the Fund) pays the Sub-Advisors a fee for these services. TCW Investment Management Company LLC (TCW) and Westfield Capital Management Company, LLC (Westfield) have been retained by the Advisor to manage the investments of the Emerging Growth Fund. Mastrapasqua Asset Management, Inc. (Mastrapasqua) has been retained by the Advisor to manage the investments of the Growth Opportunities Fund. Todd Investment Advisors, Inc. (Todd), an affiliate of the Advisor, has been retained by the Advisor to manage the investments of the Large Cap Core Equity Fund. Navellier & Associates, Inc. (Navellier) has been retained by the Advisor to manage the investments of the Large Cap Growth Fund. 46 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================ Bjurman, Barry & Associates (Bjurman) has been retained by the Advisor to manage the investments of the Micro Cap Growth Fund. Longwood Investment Advisors, Inc. (Longwood) and Bjurman have been retained by the Advisor to manage the investments of the Small Cap Growth Fund. Fort Washington Investment Advisors, Inc. (Fort Washington), an affiliate of the Advisor, has been retained by the Advisor to manage the investments of the Value Plus Fund. The Advisor has entered into an agreement to contractually limit operating expenses of the Large Cap Growth Fund. The maximum operating expense limit in any year with respect to the Fund is based on a percentage of the average daily net assets of the Fund. The Advisor has agreed to waive advisory fees and reimburse expenses in order to maintain expense limitations for the Fund as follows: 1.30% for Class A shares, 2.25% for Class B shares, 2.25% for Class C shares and 1.05% for Class I shares. These expense limitations shall remain in effect until March 31, 2006. ADMINISTRATION AGREEMENT Under the terms of an Administration Agreement, Integrated supplies executive and regulatory compliance services, supervises the preparation of tax returns, and coordinates the preparation of reports to shareholders and reports to, and filings with, the Securities and Exchange Commission and state securities authorities and materials for meetings of the Board of Trustees. For these services, Integrated receives a monthly fee from each Fund. TRANSFER AGENT AGREEMENT Under the terms of the Transfer Agent Agreement between the Trust and Integrated, Integrated maintains the records of each shareholder's account, answers shareholders' inquiries concerning their accounts, processes purchases and redemptions of each Fund's shares, acts as dividend and distribution disbursing agent and performs other shareholder service functions. For these services, Integrated receives a monthly fee per shareholder account from each Fund, subject to a minimum monthly fee for each Fund, or for each class of shares of a Fund, as applicable. In addition, each Fund pays Integrated out-of-pocket expenses including, but not limited to, postage and supplies. ACCOUNTING SERVICES AGREEMENT Under the terms of the Accounting Services Agreement between the Trust and Integrated, Integrated calculates the daily net asset value per share and maintains the financial books and records of each Fund. For these services, Integrated receives a monthly fee, based on current net asset levels from each Fund. In addition, each Fund pays Integrated certain out-of-pocket expenses incurred by Integrated in obtaining valuations of such Fund's portfolio securities. UNDERWRITING AGREEMENT The Underwriter is the Funds' principal underwriter and, as such, acts as the exclusive agent for distribution of the Funds' shares. Under the terms of the Underwriting Agreement between the Trust and Underwriter, the Underwriter earned the following from underwriting and broker commissions on the sale of shares of the following Funds for the six months ended September 30, 2005: Emerging Growth Fund $ 59,703 Growth Opportunities Fund $ 3,643 Large Cap Core Equity Fund $ 1,296 Large Cap Growth Fund $ 102,900 Micro Cap Growth Fund $ 29,722 Small Cap Growth Fund $ 7,778 Value Plus Fund $ 1,131 47 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================ In addition, the Underwriter collected the following contingent deferred sales charges on the redemption of Class B and Class C shares of the following Funds during the six months ended September 30, 2005: Emerging Growth Fund $ 109,597 Growth Opportunities Fund $ 5,099 Large Cap Core Equity Fund $ 2,015 Large Cap Growth Fund $ 23,267 Micro Cap Growth Fund $ 6,247 Small Cap Growth Fund $ 8,061 Value Plus Fund $ 2,330 PLANS OF DISTRIBUTION The Trust has a Plan of Distribution (Class A Plan) under which Class A shares of each Fund may directly incur or reimburse the Advisor or the Underwriter for expenses related to the distribution and promotion of shares. The annual limitation for payment of such expenses under the Class A Plan is 0.25% of average daily net assets attributable to such shares. The Trust also has a Plan of Distribution (Class B and Class C Plan) under which Class B and Class C shares of each Fund may directly incur or reimburse the Advisor or the Underwriter for expenses related to the distribution and promotion of shares. The annual limitation for payment of such expenses under the Class B and Class C Plan is 1.00% of average daily net assets attributable to Class B and Class C shares. SPONSOR AGREEMENT The Trust, on behalf of the Emerging Growth Fund, Large Cap Core Equity Fund, Micro Cap Growth Fund, Small Cap Growth Fund, and Value Plus Fund, has entered into a Sponsor Agreement with the Advisor. The Advisor provides oversight of the various service providers to the Funds, including the Funds' administrator, custodian and transfer agent. The Advisor receives a fee from each Fund equal on an annual basis to 0.20% of the average daily net assets of that Fund. The Advisor agreed to waive Sponsor fees until March 31, 2006, as needed to maintain each Fund's expenses at a set level (see below). The Sponsor Agreement may be terminated by the Advisor, the Board of Trustees or the vote of a majority of the outstanding voting securities of each Fund with 30 days written notice. Pursuant to the Sponsor Agreement, between the Advisor and the Trust, the Advisor has agreed to waive its fees and reimburse expenses in order to limit certain Fund's annual expenses as follows: Emerging Growth Fund - 1.50% for Class A shares, 2.25% for Class B and Class C shares; Large Cap Core Equity Fund - 1.00% for Class A shares, 1.75% for Class B and Class C shares; Micro Cap Growth Fund - 1.95% for Class A shares, 2.70% for Class C shares, 1.55% for Class I shares; Small Cap Growth Fund - 1.95% for Class A shares, 2.70% for Class B and Class C shares, 1.55% for Class I shares; Value Plus Fund - 1.30% for Class A shares, 2.05% for Class B and Class C shares. These fee waivers and expense limitations are in effect for all Funds until March 31, 2006. During the six months ended September 30, 2005, the Advisor waived Sponsor fees as follows: Emerging Growth Fund $ 317,676 Large Cap Core Equity Fund $ 12,701 Micro Cap Growth Fund $ 56,599 Small Cap Growth Fund $ 144,015 Value Plus Fund $ 76,332 48 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================ COMPLIANCE SERVICES AGREEMENT Under the terms of the Compliance Services Agreement between the Trust and Integrated, Integrated provides certain compliance services to the Trust for a fee, including developing and assisting in implementing a compliance program for Integrated on behalf of the Funds and providing administrative support services to the Funds' Compliance Program and Chief Compliance Officer. AFFILIATED TRANSACTIONS Each Fund may invest in the Touchstone Institutional Money Market Fund, subject to compliance with the several conditions set forth in an order received by the Trust from the Securities and Exchange Commission. To the extent that the other Touchstone Funds are invested in the Touchstone Institutional Money Market Fund, the Advisor and Administrator will be paid additional fees from the Touchstone Institutional Money Market Fund that will not be waived or reimbursed. A summary of each Fund's investment in the Touchstone Institutional Money Market Fund, if any, for the year ended September 30, 2005, is noted below:
SHARE ACTIVITY ----------------------------------------------- BALANCE BALANCE VALUE 3/31/05 PURCHASES SALES 9/30/05 DIVIDENDS 9/30/05 ---------------------------------------------------------------------------------------------------------------------------------- Emerging Growth Fund Touchstone Institutional Money Market Fund .... -- 113,134,554 89,288,028 23,846,526 $ 83,371 $23,846,526 Growth Opportunites Fund Touchstone Institutional Money Market Fund .... -- 5,187,131 4,333,180 853,951 $ 127 $ 853,951 Large Cap Core Equity Fund Touchstone Institutional Money Market Fund .... -- 422,610 105,744 316,866 $ 596 $ 316,866 Large Cap Growth Fund Touchstone Institutional Money Market Fund .... -- 128,569,296 112,246,657 16,322,639 $ 36,159 $16,322,639 Micro Cap Growth Fund Touchstone Institutional Money Market Fund .... -- 5,601,715 5,422,677 179,038 $ 2,325 $ 179,038 Small Cap Growth Fund Touchstone Institutional Money Market Fund .... -- 38,288,029 22,782,231 15,505,798 $ 30,316 $15,505,798 Value Plus Fund Touchstone Institutional Money Market Fund .... -- 4,625,154 2,888,834 1,736,320 $ 4,307 $ 1,736,320
49 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================ 5. CAPITAL SHARE TRANSACTIONS Proceeds and payments on capital shares as shown in the Statements of Changes in Net Assets are the result of the following capital share transactions for the periods shown:
-------------------------------------------------------------------------------------------------------------------------------- EMERGING GROWTH LARGE CAP GROWTH OPPORTUNITIES CORE EQUITY FUND FUND FUND -------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED SEPT. 30, ENDED 2005 MARCH 31, 2005 MARCH 31, 2005 MARCH 31, (UNAUDITED) 2005 (UNAUDITED) 2005 (UNAUDITED) 2005 -------------------------------------------------------------------------------------------------------------------------------- CLASS A Shares sold ................................. 3,329,420 13,681,174 358,968 1,037,067 62,138 142,157 Shares reinvested ........................... -- 1,192,525 -- -- -- 10,583 Shares redeemed ............................. (4,614,276) (9,136,289) (620,073) (3,011,561) (30,500) (134,214) ---------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding (1,284,856) 5,737,410 (261,105) (1,974,494) (31,638) 18,526 Shares outstanding, beginning of period ..... 26,834,508 21,097,098 4,538,026 6,512,520 984,205 965,679 ---------------------------------------------------------------------------------- Shares outstanding, end of period ........... 25,549,652 26,834,508 4,276,921 4,538,026 1,015,843 984,205 ================================================================================== CLASS B Shares sold ................................. 98,375 699,782 3,341 18,249 9,470 67,892 Shares reinvested ........................... -- 166,527 -- -- -- 531 Shares redeemed ............................. (258,270) (420,712) (23,003) (46,186) (12,925) (52,718) ---------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding (159,895) 445,597 (19,662) (27,937) (3,455) 15,705 Shares outstanding, beginning of period ..... 3,686,497 3,240,900 180,539 208,476 176,784 161,079 ---------------------------------------------------------------------------------- Shares outstanding, end of period ........... 3,526,602 3,686,497 160,877 180,539 173,329 176,784 ================================================================================== CLASS C Shares sold ................................. 1,199,540 4,772,368 37,433 85,925 19,667 35,206 Shares reinvested ........................... -- 523,391 -- -- -- 434 Shares redeemed ............................. (1,900,814) (3,265,751) (183,308) (449,633) (64,713) (107,540) ---------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding (701,274) 2,030,008 (145,875) (363,708) (45,046) (71,900) Shares outstanding, beginning of period ..... 14,602,781 12,572,773 1,273,850 1,637,558 176,996 248,896 ---------------------------------------------------------------------------------- Shares outstanding, end of period ........... 13,901,507 14,602,781 1,127,975 1,273,850 131,950 176,996 ================================================================================== --------------------------------------------------------------------------------------------------------------------------------
50 NOTES TO FINANCIAL STATEMENTS (CONTINUED) =============================================================================== ------------------------------------------------------------------------------- LARGE CAP GROWTH FUND ------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR SEPT. 30, ENDED 2005 MARCH 31, (UNAUDITED) 2005 (A) ------------------------------------------------------------------------------- CLASS A Shares sold ....................................... 11,637,424 10,983,411 Shares redeemed ................................... (1,316,213) (1,202,420) -------------------------- Net increase in shares outstanding ................ 10,321,211 9,780,991 Shares outstanding, beginning of period ........... 13,816,493 4,035,502 -------------------------- Shares outstanding, end of period ................. 24,137,704 13,816,493 ========================== CLASS B Shares sold ....................................... 354,015 469,699 Shares redeemed ................................... (29,464) (40,038) -------------------------- Net increase in shares outstanding ................ 324,551 429,661 Shares outstanding, beginning of period ........... 539,696 110,035 -------------------------- Shares outstanding, end of period ................. 864,247 539,696 ========================== CLASS C Shares sold ....................................... 2,318,593 2,297,801 Shares redeemed ................................... (116,506) (79,041) -------------------------- Net increase in shares outstanding ................ 2,202,087 2,218,760 Shares outstanding, beginning of period ........... 2,468,677 249,917 -------------------------- Shares outstanding, end of period ................. 4,670,764 2,468,677 ========================== CLASS I Shares sold ....................................... 333,902 2,363,046 Shares redeemed ................................... (201,560) (184,075) -------------------------- Net increase in shares outstanding ................ 132,342 2,178,971 Shares outstanding, beginning of period ........... 2,178,971 -- -------------------------- Shares outstanding, end of period ................. 2,311,313 2,178,971 ========================== ------------------------------------------------------------------------------- (A) Except Class I shares which represents the period from commencement of operations (November 10, 2004) through March 31, 2005. 51 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================
-------------------------------------------------------------------------------------------------------------------- MICRO CAP SMALL CAP GROWTH GROWTH FUND FUND -------------------------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS ENDED PERIOD ENDED YEAR SEPT. 30, ENDED SEPT.30, ENDED 2005 MARCH 31, 2005 MARCH 31, (UNAUDITED) 2005 (A) (UNAUDITED) 2005 (B) -------------------------------------------------------------------------------------------------------------------- CLASS A Shares sold ..................................... 1,231,334 3,074,850 562,081 1,507,000 Shares reinvested ............................... -- -- -- 74,546 Shares redeemed ................................. (563,954) (148,714) (374,662) (2,418,324) ------------------------------------------------------------- Net increase (decrease) in shares outstanding ... 667,380 2,926,136 187,419 (836,778) Shares outstanding, beginning of period ......... 2,926,136 -- 2,469,862 3,306,640 ------------------------------------------------------------- Shares outstanding, end of period ............... 3,593,516 2,926,136 2,657,281 2,469,862 ============================================================= CLASS B Shares sold ..................................... -- -- 15,775 145,750 Shares reinvested ............................... -- -- -- 12,741 Shares redeemed ................................. -- -- (23,905) (57,014) ------------------------------------------------------------- Net increase (decrease) in shares outstanding ... -- -- (8,130) 101,477 Shares outstanding, beginning of period ......... -- -- 594,081 492,604 ------------------------------------------------------------- Shares outstanding, end of period ............... -- -- 585,951 594,081 ============================================================= CLASS C Shares sold ..................................... 546,464 1,538,640 146,572 563,065 Shares reinvested ............................... -- -- -- 16,055 Shares redeemed ................................. (104,862) (64,989) (134,253) (245,443) ------------------------------------------------------------- Net increase in shares outstanding .............. 441,602 1,473,651 12,319 333,677 Shares outstanding, beginning of period ......... 1,473,651 -- 1,251,315 917,638 ------------------------------------------------------------- Shares outstanding, end of period ............... 1,915,253 1,473,651 1,263,634 1,251,315 ============================================================= CLASS I Shares sold ..................................... 1,690 10 5,645,788 5,515,470 Shares reinvested ............................... -- -- -- 70,748 Shares redeemed ................................. (562) -- (442,951) (173,778) ------------------------------------------------------------- Net increase in shares outstanding .............. 1,128 10 5,202,837 5,412,440 Shares outstanding, beginning of period ......... 10 -- 5,412,440 -- ------------------------------------------------------------- Shares outstanding, end of period ............... 1,138 10 10,615,277 5,412,440 ============================================================= --------------------------------------------------------------------------------------------------------------------
(A) Represents the period from commencement of operations (June 22, 2004) through March 31, 2005, except Class I shares which represents the period from commencement of operations (October 4, 2004) through March 31, 2005. (B) Except Class I shares which represents the period from commencement of operations (May 5, 2004) through March 31, 2005. 52 NOTES TO FINANCIAL STATEMENTS (CONTINUED) =============================================================================== ------------------------------------------------------------------------------- VALUE PLUS FUND ------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR SEPT. 30, ENDED 2005 MARCH 31, (UNAUDITED) 2005 ------------------------------------------------------------------------------- CLASS A Shares sold .................................... 167,966 1,455,498 Shares reinvested .............................. -- 28,930 Shares redeemed ................................ (324,348) (1,004,090) ------------------------------ Net increase (decrease) in shares outstanding .. (156,382) 480,338 Shares outstanding, beginning of period ........ 6,849,939 6,369,601 ------------------------------ Shares outstanding, end of period .............. 6,693,557 6,849,939 ============================== CLASS B Shares sold .................................... 6,642 24,214 Shares redeemed ................................ (10,599) (16,360) ------------------------------ Net increase (decrease) in shares outstanding .. (3,957) 7,854 Shares outstanding, beginning of period ........ 85,276 77,422 ------------------------------ Shares outstanding, end of period .............. 81,319 85,276 ============================== CLASS C Shares sold .................................... 3,152 33,863 Shares redeemed ................................ (18,042) (45,443) ------------------------------ Net decrease in shares outstanding ............. (14,890) (11,580) Shares outstanding, beginning of period ........ 179,241 190,821 ------------------------------ Shares outstanding, end of period .............. 164,351 179,241 ============================== ------------------------------------------------------------------------------- 53 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================ 6. COMMISSION RECAPTURE Included in the Statements of Operations under the caption "Fees from commission recapture" are amounts received by the Funds from certain brokers to whom brokerage transactions have been directed. 7. COMMITMENTS AND CONTINGENCIES The Funds indemnify the Trust's Officers and Trustees for certain liabilities that might arise from their performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. 54 EMERGING GROWTH FUND PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) =============================================================================== MARKET COMMON STOCKS -- 97.6% SHARES VALUE ------------------------------------------------------------------------------- OIL & GAS -- 7.2% Amerada Hess Corp. ............................ 125,700 $ 17,283,749 BJ Services Co. ............................... 320,000 11,516,800 Chesapeake Energy Corp. + ..................... 314,400 12,025,800 Cooper Cameron Corp.* ......................... 96,000 7,097,280 ENSCO International, Inc. ..................... 112,900 5,260,011 Pioneer Natural Resources ..................... 121,700 6,683,764 Smith International, Inc. ..................... 308,600 10,279,466 -------------- 70,146,870 -------------- HEALTH CARE EQUIPMENT -- 6.9% Cytyc Corp.* .................................. 394,400 10,589,640 Dade Behring Holdings, Inc. ................... 331,600 12,156,456 Fisher Scientific International, Inc.* ........ 222,400 13,799,920 PerkinElmer, Inc. ............................. 497,300 10,130,001 Thermo Electron* .............................. 632,900 19,556,609 -------------- 66,232,626 -------------- RETAILERS -- 6.6% Estee Lauder Companies, Inc. .................. 213,500 7,436,205 Family Dollar Stores, Inc. .................... 353,100 7,016,097 Molson Coors Brewing Co. ...................... 101,600 6,503,416 O'Reilly Automotive, Inc.* .................... 320,100 9,020,418 OfficeMax, Inc. ............................... 340,565 10,785,693 Tiffany & Co. ................................. 243,400 9,680,018 Weight Watchers, Inc.* ........................ 103,000 5,312,740 Williams-Sonoma, Inc.* ........................ 188,600 7,232,810 -------------- 62,987,397 -------------- ELECTRONICS -- 6.1% AMETEK, Inc. .................................. 348,700 14,983,638 Arrow Electronics, Inc.* ...................... 204,650 6,417,824 AU Optronics Corp. - ADR ...................... 625,502 8,106,506 Celestica, Inc.* .............................. 806,015 9,116,030 LSI Logic* .................................... 886,700 8,733,995 Vishay Intertechnology, Inc.* + ............... 947,470 11,322,267 -------------- 58,680,260 -------------- INDUSTRIAL -- 5.4% Cytec Industries, Inc. ........................ 53,444 2,318,401 IDEX Corp. .................................... 222,900 9,484,395 International Flavors & Fragrances, Inc. ...... 195,700 6,974,748 Roper Industries, Inc. ........................ 125,800 4,942,682 SPX Corp. + ................................... 131,200 6,028,640 Stanley Works + ............................... 263,600 12,304,848 Varian, Inc.* ................................. 289,250 9,927,060 -------------- 51,980,774 -------------- SEMICONDUCTORS -- 5.2% Advanced Micro Devices, Inc.* + ............... 394,400 9,938,880 Freescale Semiconductor, Inc. - Class B* ...... 388,500 9,160,830 Intersil Corp. ................................ 310,500 6,762,690 National Semiconductor Corp. .................. 909,435 23,918,141 -------------- 49,780,541 -------------- 55 EMERGING GROWTH FUND (CONTINUED) =============================================================================== MARKET COMMON STOCKS -- 97.6% (CONTINUED) SHARES VALUE ------------------------------------------------------------------------------- MEDICAL SUPPLIES -- 5.1% Beckman Coulter, Inc. ......................... 118,100 $ 6,375,038 Edwards Lifesciences Corp.* ................... 181,050 8,040,431 Hillenbrand Industries, Inc. .................. 128,300 6,036,515 Tektronix, Inc. ............................... 294,670 7,434,524 Teradyne, Inc.* ............................... 817,150 13,482,975 The Cooper Companies, Inc. .................... 106,000 8,120,660 -------------- 49,490,143 -------------- COAL -- 4.5% Arch Coal, Inc. + ............................. 188,600 12,730,500 CONSOL Energy, Inc. ........................... 200,100 15,261,627 Massey Energy Co. ............................. 291,800 14,902,226 -------------- 42,894,353 -------------- TECHNOLOGY -- 4.4% Cypress Semiconductor Corp.* + ................ 735,900 11,075,295 Lam Research Corp.* ........................... 238,600 7,270,142 Novellus Systems, Inc. ........................ 405,300 10,164,924 Siebel Systems, Inc. .......................... 1,352,200 13,968,226 -------------- 42,478,587 -------------- APPAREL RETAILERS -- 4.0% Ann Taylor* ................................... 327,300 8,689,815 Federated Department Stores, Inc. ............. 205,337 13,730,885 Foot Locker ................................... 343,000 7,525,420 Jones Apparel Group, Inc. ..................... 282,580 8,053,530 -------------- 37,999,650 -------------- HEAVY MACHINERY -- 3.7% Dover Corp. ................................... 254,990 10,401,042 Pentair, Inc. ................................. 130,300 4,755,950 W.W. Grainger, Inc. ........................... 134,900 8,487,908 York International Corp. ...................... 213,000 11,942,910 -------------- 35,587,810 -------------- BANKING -- 3.6% Investors Financial Services Corp. + .......... 200,100 6,583,290 North Fork Bancorporation ..................... 386,750 9,862,125 People's Bank ................................. 104,810 3,037,394 Zions Bancorporation .......................... 215,600 15,352,876 -------------- 34,835,685 -------------- COMPUTERS & INFORMATION -- 3.4% Diebold, Inc. ................................. 254,210 8,760,077 McAfee, Inc.* ................................. 210,900 6,626,478 Polycom, Inc.* ................................ 745,600 12,056,351 The Reynolds & Reynolds Company - Class A ..... 41,187 1,128,936 Unisys Corp.* ................................. 647,600 4,300,064 -------------- 32,871,906 -------------- INSURANCE -- 3.3% Arthur J. Gallagher & Co. + ................... 237,100 6,830,851 Assurant, Inc. ................................ 295,970 11,264,618 Old Republic International Corp. .............. 320,400 8,545,068 Willis Group Holdings Ltd. .................... 127,300 4,780,115 -------------- 31,420,652 -------------- 56 EMERGING GROWTH FUND (CONTINUED) =============================================================================== MARKET COMMON STOCKS -- 97.6% (CONTINUED) SHARES VALUE ------------------------------------------------------------------------------- HEALTH CARE PROVIDERS -- 3.2% Community Health Systems, Inc.* ............... 257,200 $ 9,981,932 Coventry Health Care, Inc.* ................... 61,600 5,298,832 Manor Care .................................... 188,600 7,244,126 Valeant Pharmaceuticals International ......... 399,600 8,023,968 -------------- 30,548,858 -------------- BIOTECHNOLOGY -- 2.8% Celgene Corp.* + .............................. 383,000 20,804,560 Charles River Laboratories International, Inc.* 140,860 6,144,313 -------------- 26,948,873 -------------- COMPUTER SOFTWARE & PROCESSING -- 2.7% Alliance Data Systems Corp.* .................. 280,100 10,965,915 Avid Technology, Inc.* ........................ 231,900 9,600,660 CheckFree Corp.* .............................. 142,900 5,404,478 -------------- 25,971,053 -------------- PHARMACEUTICALS -- 2.4% Elan Corp.* + ................................. 1,171,100 10,375,946 Par Pharmaceutical Cos., Inc.* + .............. 182,000 4,844,840 Shire Pharmaceuticals Group PLC - ADR ......... 200,500 7,416,495 -------------- 22,637,281 -------------- HEALTH CARE DISTRIBUTORS -- 2.2% Andrx Corp.* .................................. 200,100 3,087,543 Omnicare, Inc. ................................ 324,000 18,218,520 -------------- 21,306,063 -------------- IT CONSULTING -- 2.2% CACI International, Inc.* ..................... 171,500 10,392,900 Satyam Computer Services Ltd. - ADR ........... 360,100 10,882,222 -------------- 21,275,122 -------------- MEDIA - BROADCASTING & PUBLISHING -- 2.1% Andrew Corp.* ................................. 682,600 7,610,990 Entercom Communications Corp.* ................ 85,350 2,696,207 Univision Communications, Inc. - Class A* + ... 199,600 5,295,388 Westwood One, Inc. ............................ 215,900 4,294,251 -------------- 19,896,836 -------------- EMPLOYMENT SERVICES -- 1.4% Monster Worldwide, Inc.* ...................... 434,400 13,340,424 -------------- WASTE DISPOSAL -- 1.2% Republic Services, Inc. ....................... 337,200 11,899,788 -------------- AEROSPACE & DEFENSE -- 1.0% Alliant Techsystems, Inc.* .................... 134,600 10,047,890 -------------- DEEP SEA PASSENGER TRANSPORTATION -- 1.0% Royal Caribbean Cruises Ltd. + ................ 211,500 9,136,800 -------------- ENGINEERING SERVICES -- 0.9% EMCOR Group, Inc.* ............................ 139,565 8,276,205 -------------- 57 EMERGING GROWTH FUND (CONTINUED) =============================================================================== MARKET COMMON STOCKS -- 97.6% (CONTINUED) SHARES VALUE ------------------------------------------------------------------------------- FINANCIAL SERVICES -- 0.9% Piper Jaffray Companies, Inc.* ................ 111,400 $ 3,326,404 T. Rowe Price Group, Inc. ..................... 74,300 4,851,790 -------------- 8,178,194 -------------- HOTELS & MOTELS -- 0.8% Gaylord Entertainment Co.* .................... 169,100 8,057,615 -------------- ADVERTISING -- 0.8% Lexmark International Group, Inc. - Class A* .. 126,210 7,705,121 -------------- AGRICULTURAL SERVICES -- 0.7% Monsanto Co. .................................. 114,300 7,172,325 -------------- TELECOMMUNICATIONS -- 0.7% Scientific-Atlanta, Inc. ...................... 177,200 6,646,772 -------------- HOUSEHOLD PRODUCTS -- 0.7% Leggett & Platt, Inc. ......................... 321,100 6,486,220 -------------- COMMERCIAL SERVICES -- 0.5% Anixter International, Inc.* .................. 130,150 5,248,950 -------------- TOTAL COMMON STOCKS ........................... $ 938,167,644 -------------- ------------------------------------------------------------------------------- MARKET INVESTMENT FUNDS -- 11.9% SHARES VALUE ------------------------------------------------------------------------------- Touchstone Institutional Money Market Fund ^** .. 114,762,348 $ 114,762,348 -------------- TOTAL INVESTMENT SECURITIES -- 109.5% (Cost $918,962,829) ............................. $1,052,929,992 LIABILITIES IN EXCESS OF OTHER ASSETS -- (9.5%).. (91,495,345) -------------- NET ASSETS -- 100.0% ............................ $ 961,434,647 ============== * Non-income producing security. ^ Affiliated Fund, managed by Fort Washington Investment Advisors, Inc. + All or portion of the security is on loan. The total value of securities on loan as of September 30, 2005 was $88,131,934. ** As of September 30, 2005, $90,915,822 represents collateral for securities loaned. ADR - American Depository Receipt. See accompanying notes to financial statements. 58 GROWTH OPPORTUNITIES FUND PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) =============================================================================== MARKET COMMON STOCKS -- 100.3% SHARES VALUE ------------------------------------------------------------------------------- TECHNOLOGY -- 30.5% Agilent Technologies, Inc.* ..................... 126,000 $ 4,126,500 Analog Devices, Inc. ............................ 90,000 3,342,600 Autodesk, Inc. .................................. 45,000 2,089,800 EMC Corp.* ...................................... 350,000 4,529,000 Intel Corp. ..................................... 145,000 3,574,250 L-3 Communications Holdings, Inc. ............... 20,000 1,581,400 Motorola, Inc. .................................. 147,000 3,247,230 Oracle Corp.* ................................... 335,000 4,150,650 Texas Instruments, Inc. ......................... 150,000 5,085,000 VeriSign, Inc.* ................................. 85,000 1,816,450 ------------ 33,542,880 ------------ HEALTH CARE -- 27.7% Affymetrix, Inc.* ............................... 62,700 2,898,621 Alcon Inc. ...................................... 31,000 3,964,280 Amgen, Inc.* .................................... 52,700 4,198,609 Charles River Laboratories International, Inc.* . 40,000 1,744,800 Fisher Scientific International Inc.* ........... 55,000 3,412,750 Genentech, Inc.* ................................ 42,500 3,578,925 Genzyme Corp.* .................................. 60,000 4,298,400 Invitrogen Corp.* ............................... 50,000 3,761,500 St. Jude Medical, Inc.* ......................... 55,000 2,574,000 ------------ 30,431,885 ------------ OIL & GAS -- 13.2% Burlington Resources, Inc. ...................... 45,000 3,659,400 Halliburton Company ............................. 65,000 4,453,800 Newfield Exploration Co.* ....................... 45,000 2,209,500 Schlumberger Limited ............................ 50,000 4,219,000 ------------ 14,541,700 ------------ BUSINESS SERVICES -- 10.2% eBay, Inc.* ..................................... 65,000 2,678,000 Getty Images, Inc.* ............................. 33,000 2,839,320 Jacobs Engineering Group, Inc.* ................. 12,000 808,800 Monster Worldwide, Inc.* ........................ 92,800 2,849,888 Yahoo!, Inc.* ................................... 60,000 2,030,400 ------------ 11,206,408 ------------ INDUSTRIAL -- 6.3% American Power Conversion Corp. ................. 92,000 2,382,800 Caterpiller, Inc. ............................... 50,000 2,937,500 Emerson Electric Co. ............................ 22,000 1,579,600 ------------ 6,899,900 ------------ MEDIA/ENTERTAINMENT -- 5.2% Harrah's Entertainment, Inc. .................... 15,000 977,850 Marriott International, Inc. - Class A .......... 39,000 2,457,000 Starwood Hotels & Resorts Worldwide, Inc. ....... 40,000 2,286,800 ------------ 5,721,650 ------------ 59 GROWTH OPPORTUNITIES FUND (CONTINUED) =============================================================================== MARKET COMMON STOCKS -- 100.3% (CONTINUED) SHARES VALUE ------------------------------------------------------------------------------- RETAIL -- 5.2% Starbucks Corp.* ................................ 57,000 $ 2,855,700 Walgreen Co. .................................... 30,000 1,303,500 Williams-Sonoma, Inc.* .......................... 40,000 1,534,000 ------------ 5,693,200 ------------ CHEMICALS -- 2.0% Praxair, Inc. ................................... 46,700 2,238,331 ------------ TOTAL COMMON STOCKS ............................. $110,275,954 ------------ ------------------------------------------------------------------------------- MARKET INVESTMENT FUNDS -- 0.8% SHARES VALUE ------------------------------------------------------------------------------- Touchstone Institutional Money Market Fund ^ .... 853,951 $ 853,951 ------------ TOTAL INVESTMENT SECURITIES -- 101.1% (Cost $98,618,142) .............................. $111,129,905 LIABILITIES IN EXCESS OF OTHER ASSETS -- (1.1%) . (1,237,447) ------------ NET ASSETS -- 100.0% ............................ $109,892,458 ------------ * Non-income producing security. ^ Affiliated Fund, managed by Fort Washington Investment Advisors, Inc. See accompanying notes to financial statements. 60 LARGE CAP CORE EQUITY FUND PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) ================================================================================ MARKET COMMON STOCKS -- 97.4% SHARES VALUE ------------------------------------------------------------------------------- INDUSTRIAL -- 17.8% 3M Co. ........................................... 4,910 $ 360,198 Caterpiller, Inc. ................................ 10,600 622,749 General Electric Co. ............................. 12,180 410,101 Honeywell International, Inc. .................... 11,590 434,625 United Technologies Corp. ........................ 8,640 447,897 ----------- 2,275,570 ----------- INFORMATION TECHNOLOGY -- 17.4% Cisco Systems, Inc.* ............................. 16,200 290,466 Computer Sciences Corp.* ......................... 7,070 334,482 Hewlett-Packard Co. .............................. 17,970 524,723 Intel Corp. ...................................... 13,550 334,008 International Business Machines Corp. (IBM) ...... 4,220 338,528 Microsoft Corp. .................................. 16,100 414,253 ----------- 2,236,460 ----------- CONSUMER STAPLES -- 16.2% Altria Group, Inc. ............................... 7,270 535,872 Coca-Cola Co. .................................... 7,660 330,835 Kimberly-Clark Corp. ............................. 6,580 391,707 Procter & Gamble Co. ............................. 7,860 467,356 Wal-Mart Stores, Inc. ............................ 8,250 361,515 ----------- 2,087,285 ----------- HEALTH CARE -- 11.3% Cardinal Health, Inc. ............................ 5,700 361,608 Johnson & Johnson ................................ 7,460 472,069 WellPoint, Inc.* ................................. 8,250 625,515 ----------- 1,459,192 ----------- CONSUMER DISCRETIONARY -- 10.2% Best Buy Co., Inc. + ............................. 12,075 525,625 Home Depot, Inc. ................................. 10,610 404,665 The Walt Disney Co. .............................. 16,010 386,321 ----------- 1,316,611 ----------- FINANCIAL SERVICES -- 9.7% American Express Co. ............................. 7,360 422,759 Bank of America Corp. ............................ 10,020 421,842 Citigroup, Inc. .................................. 8,856 403,125 ----------- 1,247,726 ----------- ENERGY -- 4.7% Exxon Mobil Corp. ................................ 9,620 611,255 ----------- TELECOMMUNICATION SERVICE -- 2.8% SBC Communications, Inc. ......................... 15,120 362,426 ----------- INSURANCE -- 2.8% Allstate Corp. ................................... 6,485 358,556 ----------- MATERIALS -- 2.5% Du Pont (E.I.) DE Nemours ........................ 8,350 327,070 ----------- 61 LARGE CAP CORE EQUITY FUND (CONTINUED) =============================================================================== MARKET COMMON STOCKS -- 97.4% (CONTINUED) SHARES VALUE ------------------------------------------------------------------------------- FINANCIAL -- 2.0% JP Morgan Chase & Co. ........................... 7,760 $ 263,297 ----------- TOTAL COMMON STOCKS ............................. $12,545,448 ----------- ------------------------------------------------------------------------------- MARKET INVESTMENT FUNDS -- 3.6% SHARES VALUE ------------------------------------------------------------------------------- Touchstone Institutional Money Market Fund ^** .. 468,166 $ 468,166 ----------- TOTAL INVESTMENT SECURITIES -- 101.0% (Cost $10,760,861) .............................. $13,013,614 LIABILITIES IN EXCESS OF OTHER ASSETS -- (1.0%) . (133,082) ----------- NET ASSETS -- 100.0% ............................ $12,880,532 =========== * Non-income producing security. ^ Affiliated Fund, managed by Fort Washington Investment Advisors, Inc. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2005 was $148,002. ** As of September 30, 2005, $151,300 represents collateral for securities loaned. See accompanying notes to financial statements. 62 LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) =============================================================================== MARKET COMMON STOCKS -- 97.3% SHARES VALUE ------------------------------------------------------------------------------- HEALTH CARE -- 17.1% Abbott Laboratories ............................. 242,050 $ 10,262,920 Alcon, Inc. ..................................... 219,370 28,053,035 Genentech, Inc.* ................................ 253,350 21,334,604 Glaxosmithkline PLC - ADR ....................... 238,250 12,217,460 Medco Health Solutions, Inc.* ................... 351,645 19,280,695 UnitedHealth Group, Inc. ........................ 461,335 25,927,027 ------------ 117,075,741 ------------ TELECOMMUNICATIONS -- 12.2% America Movil S.A. - ADR ........................ 1,123,075 29,559,334 Corning, Inc.* .................................. 801,700 15,496,861 Motorola, Inc. .................................. 979,410 21,635,167 Sprint Nextel Corp. ............................. 679,916 16,168,402 ------------ 82,859,764 ------------ OIL & GAS -- 11.9% Burlington Resources, Inc. ...................... 94,560 7,689,619 Cameco Corp. + .................................. 132,345 7,080,458 Edison International ............................ 397,100 18,774,887 EnCana Corp. .................................... 238,260 13,892,940 Praxair, Inc. ................................... 253,350 12,143,066 Transocean, Inc.* ............................... 132,345 8,114,072 Valero Energy Corp. ............................. 117,210 13,251,763 ------------ 80,946,805 ------------ COMPUTER SOFTWARE & SERVICES -- 10.8% Adobe Systems, Inc. ............................. 344,126 10,272,161 Infosys Technologies Ltd. - ADR + ............... 90,720 6,738,682 Marvell Technology Group Ltd.* .................. 487,825 22,493,611 Oracle Corp.* ................................... 907,585 11,244,978 Texas Instruments, Inc. ......................... 669,325 22,690,117 ------------ 73,439,549 ------------ INSURANCE -- 8.7% Aetna, Inc. ..................................... 249,555 21,496,668 CIGNA Corp. ..................................... 147,450 17,378,457 Prudential Financial, Inc. ...................... 298,700 20,180,172 ------------ 59,055,297 ------------ HOTELS & MOTELS -- 7.5% Marriott International, Inc. - Class A .......... 295,005 18,585,315 MGM MIRAGE* ..................................... 476,445 20,853,998 Starwood Hotels & Resorts Worldwide, Inc. ....... 208,000 11,891,360 ------------ 51,330,673 ------------ RETAILERS -- 7.1% CVS ............................................. 684,435 19,855,459 J.C. Penney Company, Inc. ....................... 351,650 16,675,243 Yum! Brands, Inc. ............................... 242,050 11,717,641 ------------ 48,248,343 ------------ 63 LARGE CAP GROWTH FUND (CONTINUED) =============================================================================== MARKET COMMON STOCKS -- 97.3% (CONTINUED) SHARES VALUE ------------------------------------------------------------------------------- COMPUTERS & INFORMATION -- 6.8% Apple Computer, Inc.* ........................... 347,860 $ 18,648,775 Google, Inc.* + ................................. 52,950 16,756,557 Lockheed Martin Corp. ........................... 173,930 10,616,687 ------------ 46,022,019 ------------ FINANCIAL SERVICES -- 6.4% Franklin Resources, Inc. ........................ 257,140 21,589,474 Moody's Corp. ................................... 423,580 21,636,467 ------------ 43,225,941 ------------ HOUSEHOLD PRODUCTS -- 3.1% The Gillette Co. ................................ 366,825 21,349,215 ------------ BUILDING PRODUCTS -- 2.9% Cemex S.A. - ADR ................................ 374,350 19,578,505 ------------ TRANSPORTATION SERVICES -- 2.8% Boeing Co. ...................................... 279,825 19,014,109 ------------ TOTAL COMMON STOCKS ............................. $662,145,961 ------------ ------------------------------------------------------------------------------- MARKET INVESTMENT FUNDS -- 5.3% SHARES VALUE ------------------------------------------------------------------------------- Touchstone Institutional Money Market Fund ^** .. 36,174,635 $ 36,174,635 ------------ TOTAL INVESTMENT SECURITIES -- 102.6% (Cost $615,581,077) ............................. $698,320,596 LIABILITIES IN EXCESS OF OTHER ASSETS -- (2.6%).. (17,646,473) ------------ NET ASSETS -- 100.0% ............................ $680,674,123 ============ * Non-income producing security. ^ Affiliated Fund, managed by Fort Washington Investment Advisors, Inc. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2005 was $19,433,536. ** As of September 30, 2005, $19,851,996 represents collateral for securities loaned. ADR - American Depository Receipt. See accompanying notes to financial statements. 64 MICRO CAP GROWTH FUND PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) =============================================================================== MARKET COMMON STOCKS -- 99.4% SHARES VALUE ------------------------------------------------------------------------------- HEALTH CARE -- 27.0% Air Methods Corp.* .............................. 5,000 $ 56,600 American Dental Partners, Inc.* ................. 41,400 1,404,288 American Science & Engineering, Inc.* + ......... 18,700 1,226,533 Angiodynamics, Inc.* ............................ 51,100 1,073,100 Anika Therapeutics, Inc.* ....................... 40,000 472,800 Bioanalytical Systems, Inc.* .................... 64,650 339,413 Cerus Corp.* .................................... 81,800 724,748 Clinical Data, Inc. + ........................... 13,275 286,740 CNS, Inc. ....................................... 51,400 1,339,998 Cutera, Inc.* ................................... 14,000 363,160 Dialysis Corporation of America* ................ 77,800 1,007,510 Escalon Medical Corp.* + ........................ 18,400 113,160 Hi-Tech Pharmacal Co., Inc.* .................... 42,400 1,275,392 Horizon Health Corp.* ........................... 45,400 1,233,518 IntegraMed America, Inc.* ....................... 43,300 519,167 IRIS International, Inc.* + ..................... 78,600 1,449,383 Mesa Laboratories, Inc. ......................... 24,900 317,475 Misonix, Inc.* .................................. 50,000 359,500 Palomar Medical Technologies, Inc.* + ........... 25,000 655,750 Psychemedics Corp. .............................. 47,400 644,640 Somanetics Corp.* ............................... 52,000 1,300,000 U.S. Physical Therapy, Inc.* .................... 67,900 1,233,064 ------------ 17,395,939 ------------ ELECTRONIC TECHNOLOGY -- 24.2% BTU International, Inc.* ........................ 56,800 516,312 Captiva Software Corp.* ......................... 58,900 1,057,844 Digi International, Inc.* ....................... 21,200 227,476 Endwave Corporation* + .......................... 17,500 225,750 ENGlobal Corp.* + ............................... 29,200 236,228 Essex Corp.* .................................... 40,000 866,800 Key Tronic Corp.* ............................... 97,650 402,318 LoJack Corp.* ................................... 68,100 1,439,634 Moldflow Corp.* ................................. 35,000 557,200 Neoware Systems, Inc.* .......................... 26,500 443,610 Online Resources Corp.* ......................... 111,100 1,175,438 PAR Technology Corp.* ........................... 49,350 1,135,050 Radiant Systems, Inc.* .......................... 101,600 1,048,512 Rimage Corp.* ................................... 30,865 823,170 SI International, Inc.* ......................... 32,800 1,015,816 SRS Labs, Inc.* ................................. 68,500 441,140 Synplicity, Inc.* ............................... 104,400 690,084 Tollgrade Communications, Inc.* ................. 20,000 169,200 United Industrial Corp. + ....................... 33,500 1,197,625 Video Display Corp. + ........................... 52,400 731,504 VSE Corp. ....................................... 33,000 1,155,000 ------------ 15,555,711 ------------ 65 MICRO CAP GROWTH FUND (CONTINUED) =============================================================================== MARKET COMMON STOCKS -- 99.4% (CONTINUED) SHARES VALUE ------------------------------------------------------------------------------- CONSUMER NON-DURABLES -- 9.5% Cuisine Solutions, Inc.* ........................ 82,200 $ 612,390 Hansen Natural Corp.* + ......................... 35,000 1,647,800 Parlux Fragrances, Inc.* + ...................... 39,700 1,156,858 Poore Brothers, Inc.* ........................... 107,200 584,240 Rocky Mountain Chocolate Factory, Inc. .......... 55,200 805,920 True Religion Apparel, Inc.* + .................. 80,000 1,331,200 ------------ 6,138,408 ------------ PRODUCER MANUFACTURING -- 8.1% Amerigon, Inc.* ................................. 183,100 1,071,135 Dynamic Materials Corp. + ....................... 35,000 1,536,499 Fuel-Tech N.V.* ................................. 35,650 329,763 K-Tron International, Inc.* ..................... 4,450 150,544 Lamson & Sessions Co.* .......................... 29,700 544,104 Memry Corp.* .................................... 43,900 92,190 Miller Industries, Inc.* ........................ 3,400 66,776 Sun Hydraulics Corp. + .......................... 45,000 1,093,500 Supreme Industries, Inc. ........................ 32,200 302,358 ------------ 5,186,869 ------------ CONSUMER DURABLES -- 7.7% Aldila, Inc. .................................... 48,500 1,176,125 American Oriental Bioengineering, Inc.* ......... 180,000 822,600 Charles & Colvard Ltd. + ........................ 52,500 1,310,400 Forward Industries, Inc.* + ..................... 70,000 1,642,900 ------------ 4,952,025 ------------ CONSUMER SERVICES -- 6.5% American Medical Alert Corp.* ................... 85,400 593,530 Gaming Partners International Corp.* + .......... 41,600 663,936 Mac-Gray Corp.* ................................. 33,400 432,530 Nutri/System, Inc.* + ........................... 75,000 1,876,500 Youbet.com, Inc.* ............................... 103,200 591,336 ------------ 4,157,832 ------------ COMMERCIAL/INDUSTRIAL SERVICES -- 3.4% Competitive Technologies, Inc.* ................. 42,500 282,200 Perficient, Inc.* ............................... 100,000 827,000 Sterling Construction Co., Inc.* ................ 17,100 442,890 TheStreet.com* .................................. 147,500 616,550 ------------ 2,168,640 ------------ BASIC MATERIALS -- 3.3% CFC International, Inc.* ........................ 14,000 217,000 Empire Resources, Inc. + ........................ 67,800 530,874 Multi-Color Corp. ............................... 28,100 729,968 The Andersons, Inc. ............................. 22,600 661,728 ------------ 2,139,570 ------------ MISCELLANEOUS -- 3.3% Cavco Industries, Inc.* ......................... 32,600 1,182,728 United States Lime & Minerals, Inc.* ............ 26,700 911,805 ------------ 2,094,533 ------------ 66 MICRO CAP GROWTH FUND (CONTINUED) ============================================================================== MARKET COMMON STOCKS -- 99.4% (CONTINUED) SHARES VALUE ------------------------------------------------------------------------------ FINANCE -- 2.7% American Physicians Capital, Inc.* .............. 25,000 $ 1,228,250 Citizens, Inc.* + ............................... 81,000 520,020 ------------ 1,748,270 ------------ RETAIL TRADE -- 1.6% The Sportsman's Guide, Inc.* .................... 25,300 690,690 Wilsons The Leather Experts, Inc.* .............. 53,600 326,960 ------------ 1,017,650 ------------ TRANSPORTATION -- 1.1% Frozen Food Express Industries, Inc.* ........... 64,600 677,654 ------------ ENERGY -- 1.0% Natural Gas Services Group* + ................... 18,000 634,140 ------------ TOTAL COMMON STOCKS ............................. $ 63,867,241 ------------ ------------------------------------------------------------------------------- MARKET INVESTMENT FUNDS -- 27.6% SHARES VALUE ------------------------------------------------------------------------------- Touchstone Institutional Money Market Fund ^** .. 17,770,221 $ 17,770,221 ------------ TOTAL INVESTMENT SECURITIES -- 127.0% (Cost $69,533,004) .............................. $ 81,637,462 LIABILITIES IN EXCESS OF OTHER ASSETS -- (27.0%) (17,356,706) ------------ NET ASSETS -- 100.0% ............................ $ 64,280,756 ============ * Non-income producing security. ^ Affiliated Fund, managed by Fort Washington Investment Advisors, Inc. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2005 was $17,050,621. ** As of September 30, 2005, $17,591,183 represents collateral for securities loaned. See accompanying notes to financial statements. 67 SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) =============================================================================== MARKET COMMON STOCKS -- 94.1% SHARES VALUE ------------------------------------------------------------------------------- HEALTH CARE -- 15.9% Air Methods Corp.* .............................. 10,000 $ 113,200 American Dental Partners, Inc.* ................. 40,800 1,383,936 American Science and Engineering, Inc.* + ....... 19,100 1,252,769 Angiodynamics, Inc.* ............................ 55,100 1,157,100 Anika Therapeutics, Inc.* ....................... 82,775 978,401 Bioanalytical Systems, Inc.* .................... 74,300 390,075 Cerus Corp.* .................................... 137,100 1,214,706 Clinical Data, Inc. + ........................... 2,000 43,200 CNS, Inc. ....................................... 52,500 1,368,675 Cutera, Inc.* ................................... 30,000 778,200 Dialysis Corporation of America* + .............. 54,752 709,038 Escalon Medical Corp.* + ........................ 22,800 140,220 Genitope Corp.* + ............................... 52,550 364,697 Herbalife Ltd., - ADR* .......................... 119,550 3,603,237 Hi-Tech Pharmacal Co., Inc.* .................... 45,200 1,359,616 Horizon Health Corp.* ........................... 49,000 1,331,330 Human Genome Sciences, Inc.* .................... 92,350 1,255,037 IntegraMed America, Inc.* ....................... 54,600 654,654 IRIS International, Inc.* + ..................... 76,100 1,403,284 Mesa Laboratories, Inc. ......................... 18,100 230,775 Misonix, Inc.* .................................. 28,800 207,072 Natus Medical, Inc.* ............................ 6,300 76,671 NitroMed, Inc.* + ............................... 133,700 2,406,600 Onyx Pharmaceuticals, Inc.* ..................... 82,300 2,055,854 Palomar Medical Technologies, Inc.* + ........... 27,800 729,194 Psychemedics Corp. .............................. 48,300 656,880 Somanetics Corp.* ............................... 60,000 1,500,000 Telik, Inc.* + .................................. 261,635 4,280,348 U.S. Physical Therapy, Inc.* .................... 70,100 1,273,016 Valeant Pharmaceuticals International ........... 126,900 2,548,152 Viasys Healthcare, Inc.* ........................ 174,850 4,369,501 ------------ 39,835,438 ------------ ENERGY -- 14.8% Energy Conversion Devices, Inc.* + .............. 166,000 7,450,079 InterOil Corp.* + ............................... 136,150 3,172,295 Key Energy Services, Inc.* ...................... 266,900 3,955,458 Natural Gas Services Group* + ................... 30,900 1,088,607 Newpark Resources, Inc.* ........................ 376,400 3,169,288 Oil States International, Inc.* ................. 158,550 5,756,951 Parker Drilling Company* ........................ 588,750 5,457,713 Superior Energy Services, Inc.* ................. 292,100 6,744,588 ------------ 36,794,979 ------------ ELECTRONIC TECHNOLOGY -- 13.7% Actel Corp.* .................................... 148,350 2,145,141 Bottomline Technologies, Inc.* .................. 154,100 2,325,369 BTU International, Inc.* ........................ 70,600 641,754 Captiva Software Corp.* ......................... 72,900 1,309,284 68 SMALL CAP GROWTH FUND (CONTINUED) =============================================================================== MARKET COMMON STOCKS -- 94.1% (CONTINUED) SHARES VALUE ------------------------------------------------------------------------------- ELECTRONIC TECHNOLOGY -- 13.7% (CONTINUED) Cypress Semiconductor Corp.* + .................. 181,550 $ 2,732,328 Digi International Inc.* ........................ 40,000 429,200 Digital River, Inc.* + .......................... 202,450 7,055,382 Endwave Corp.* + ................................ 26,200 337,980 ENGlobal Corp.* + ............................... 47,400 383,466 Essex Corp.* .................................... 35,000 758,450 ILOG S.A. - ADR* ................................ 22,100 381,004 K-Tron International, Inc.* ..................... 2,900 98,107 Lojack Corp.* ................................... 69,000 1,458,660 Mobility Electronics, Inc.* ..................... 176,300 1,879,358 Moldflow Corp.* ................................. 15,600 248,352 Neoware Systems, Inc.* .......................... 44,400 743,256 Online Resources Corp.* ......................... 101,800 1,077,044 PAR Technology Corp.* ........................... 55,750 1,282,250 Radiant Systems, Inc.* .......................... 110,000 1,135,200 Rimage Corp.* ................................... 44,500 1,186,815 SI International, Inc.* ......................... 42,300 1,310,031 SRS Labs, Inc.* ................................. 103,900 669,116 Synplicity, Inc.* ............................... 152,000 1,004,720 Tollgrade Communications, Inc.* ................. 47,240 399,650 United Industrial Corp. + ....................... 34,100 1,219,075 Video Display Corp. + ........................... 55,000 767,800 VSE Corp. ....................................... 32,200 1,127,000 ------------ 34,105,792 ------------ TECHNOLOGY -- 9.5% Atheros Communications* + ....................... 271,850 2,653,256 F5 Networks, Inc.* .............................. 128,700 5,594,589 Intellisync Corp.* + ............................ 160,350 711,954 Micromuse, Inc.* ................................ 444,800 3,505,024 Openwave Systems, Inc.* + ....................... 386,600 6,951,068 PMC-Sierra, Inc.* ............................... 300,000 2,643,000 WebSideStory, Inc.* ............................. 84,600 1,499,112 ------------ 23,558,003 ------------ COMMUNICATIONS -- 7.8% Arris Group, Inc.* .............................. 467,850 5,548,700 IXIA* ........................................... 270,750 3,982,733 NII Holdings, Inc. - Class B* ................... 54,150 4,572,968 SBA Communications Corp. - Class A* ............. 334,200 5,163,390 ------------ 19,267,791 ------------ COMMERCIAL/INDUSTRIAL SERVICES -- 6.4% Competitive Technologies, Inc.* ................. 42,500 282,200 Flowserve Corp.* ................................ 116,300 4,227,505 Perficient, Inc.* + ............................. 103,100 852,637 Sterling Construction Co., Inc.* ................ 22,600 585,340 Teledyne Technologies, Inc.* .................... 121,750 4,196,723 TheStreet.com, Inc.* ............................ 167,300 699,314 USEC, Inc. ...................................... 199,500 2,226,420 Veeco Instruments, Inc.* + ...................... 178,150 2,857,526 ------------ 15,927,665 ------------ 69 SMALL CAP GROWTH FUND (CONTINUED) =============================================================================== MARKET COMMON STOCKS -- 94.1% (CONTINUED) SHARES VALUE ------------------------------------------------------------------------------- BASIC MATERIALS -- 4.5% CFC International, Inc.* ........................ 22,000 $ 341,000 Cleveland-Cliffs, Inc. + ........................ 38,550 3,358,091 Empire Resources, Inc. + ........................ 67,700 530,091 Hexcel Corp.* ................................... 303,850 5,557,416 Multi-Color Corp. ............................... 37,400 971,559 The Andersons, Inc. ............................. 16,300 477,264 ------------ 11,235,421 ------------ CONSUMER NON-DURABLES -- 4.1% Cuisine Solutions, Inc.* ........................ 86,900 647,405 Hansen Natural Corp.* + ......................... 30,000 1,412,400 Parlux Fragrances, Inc.* + ...................... 40,400 1,177,256 Poore Brothers, Inc.* ........................... 115,700 630,565 Rocky Mountain Chocolate Factory, Inc. .......... 55,900 816,140 True Religion Apparel, Inc.* + .................. 76,000 1,264,640 USANA Health Sciences, Inc.* + .................. 87,250 4,161,825 ------------ 10,110,231 ------------ CONSUMER SERVICES -- 3.4% American Medical Alert Corp.* ................... 87,600 608,820 Gaming Partners International Corp.* + .......... 52,600 839,496 Mac-Gray Corp.* ................................. 60,000 777,000 Nutri/Systems, Inc.* + .......................... 87,500 2,189,250 Revlon, Inc.* + ................................. 1,055,642 3,399,167 Youbet.com, Inc.* ............................... 107,300 614,829 ------------ 8,428,562 ------------ INSURANCE -- 2.9% Platinum Underwriters Holdings Ltd. ............. 240,400 7,185,556 ------------ PRODUCER MANUFACTURING -- 2.6% Amerigon, Inc.* + ............................... 255,800 1,496,430 Dynamic Materials Corp. + ....................... 35,000 1,536,500 Fuel-Tech N.V.* ................................. 36,550 338,088 Key Tronics Corp.* .............................. 133,950 551,874 Lamson & Sessions Co.* .......................... 38,600 707,152 Memry Corp.* .................................... 59,700 125,370 Miller Industries, Inc.* ........................ 3,600 70,704 Sun Hydraulics Corp. + .......................... 45,000 1,093,500 Supreme Industries, Inc. ........................ 47,000 441,330 ------------ 6,360,948 ------------ CONSUMER DURABLES -- 2.3% Aldila, Inc. .................................... 59,000 1,430,750 American Oriental Bioengineering, Inc.* + ....... 185,000 845,450 Charles & Colvard Ltd. + ........................ 57,749 1,441,415 Forward Industries, Inc.* + ..................... 80,000 1,877,600 ------------ 5,595,215 ------------ FINANCE -- 2.2% American Physicians Capital, Inc.* .............. 21,700 1,066,121 Centene Corp.* .................................. 119,000 2,978,570 Citizens, Inc.* + ............................... 97,700 627,234 Five Star Quality Care, Inc.* ................... 116,900 806,610 ------------ 5,478,535 ------------ 70 SMALL CAP GROWTH FUND (CONTINUED) =============================================================================== MARKET COMMON STOCKS -- 94.1% (CONTINUED) SHARES VALUE ------------------------------------------------------------------------------- FINANCIAL SERVICES -- 1.5% Friedman, Billings, Ramsey Group, Inc. + ........ 158,850 $ 1,618,682 Investment Technology Group, Inc.* .............. 70,900 2,098,640 ------------ 3,717,322 ------------ MISCELLANEOUS -- 1.0% Barrett Business Services, Inc.* ................ 16,000 365,600 Cavco Industries, Inc.* ......................... 34,300 1,244,404 United States Lime & Minerals, Inc.* ............ 27,500 939,125 ------------ 2,549,129 ------------ TRANSPORTATION -- 1.0% Frozen Food Express Industries, Inc.* ........... 54,300 569,607 US Airways Group, Inc.* ......................... 85,800 1,802,658 ------------ 2,372,265 ------------ RETAIL TRADE -- 0.5% The Sportsman's Guide, Inc.* .................... 28,100 767,130 Wilsons The Leather Experts, Inc.* .............. 66,700 406,870 ------------ 1,174,000 ------------ TOTAL COMMON STOCKS ............................. $233,696,852 ------------ ------------------------------------------------------------------------------- MARKET INVESTMENT FUNDS -- 29.5% SHARES VALUE ------------------------------------------------------------------------------- Touchstone Institutional Money Market Fund ^** .. 73,233,115 $ 73,233,115 ------------ TOTAL INVESTMENT SECURITIES -- 123.6% (Cost $276,943,495) ............................. $306,929,967 LIABILITIES IN EXCESS OF OTHER ASSETS -- (23.6%) (58,538,859) ------------ NET ASSETS -- 100.0% ............................ $248,391,108 ============ * Non-income producing security. ^ Affiliated Fund, managed by Fort Washington Investment Advisors, Inc. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2005 was $56,002,458. ** As of September 30, 2005, $57,727,317 represents collateral for securities loaned. ADR - American Depository Receipt. See accompanying notes to financial statements. 71 VALUE PLUS FUND PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED) =============================================================================== MARKET COMMON STOCKS -- 97.7% SHARES VALUE ------------------------------------------------------------------------------- OIL & GAS -- 13.0% Baker Hughes, Inc. .............................. 18,250 $ 1,089,160 BJ Services Co. ................................. 13,860 498,821 ChevronTexaco ................................... 24,133 1,562,129 ConocoPhillips .................................. 39,926 2,791,228 Exxon Mobil ..................................... 63,486 4,033,901 ----------- 9,975,239 ----------- BANKING -- 12.4% Bank of America ................................. 73,273 3,084,793 Citigroup ....................................... 73,403 3,341,305 JP Morgan Chase ................................. 57,228 1,941,746 U.S. Bancorp .................................... 38,692 1,086,471 ----------- 9,454,315 ----------- PHARMACEUTICALS -- 8.5% Cardinal Health, Inc. ........................... 16,811 1,066,490 Novartis AG ..................................... 24,030 1,225,530 Pfizer .......................................... 144,639 3,611,636 Watson Pharmaceuticals, Inc.* ................... 16,346 598,427 ----------- 6,502,083 ----------- COMPUTERS & INFORMATION -- 6.8% Computer Sciences Corp.* ........................ 25,555 1,209,007 First Data Corp. ................................ 19,431 777,240 Hewlett-Packard ................................. 58,955 1,721,486 International Business Machines ................. 19,001 1,524,260 ----------- 5,231,993 ----------- FINANCIAL SERVICES -- 6.4% Freddie Mac ..................................... 31,976 1,805,365 Lehman Brothers Holdings ........................ 15,950 1,857,856 Merrill Lynch & Co., Inc. ....................... 20,573 1,262,154 ----------- 4,925,375 ----------- BEVERAGE, FOOD & TOBACCO -- 6.4% Anheuser Busch .................................. 28,020 1,205,981 Diageo PLC - ADR + .............................. 21,515 1,248,085 McDonald's ...................................... 25,153 842,374 Outback Steakhouse, Inc. ........................ 43,584 1,595,174 ----------- 4,891,614 ----------- INSURANCE -- 5.7% American International Group, Inc. .............. 25,724 1,593,859 Genworth Financial, Inc. ........................ 46,813 1,509,251 Lincoln National Corp. .......................... 24,445 1,271,629 ----------- 4,374,739 ----------- ELECTRIC UTILITIES -- 5.6% Cinergy Corp. ................................... 31,966 1,419,610 Dominion Resources .............................. 15,845 1,364,888 Public Service Enterprise Group, Inc. ........... 23,232 1,495,212 ----------- 4,279,710 ----------- 72 VALUE PLUS FUND (CONTINUED) =============================================================================== MARKET COMMON STOCKS -- 97.7% (CONTINUED) SHARES VALUE ------------------------------------------------------------------------------- MEDIA - BROADCASTING & PUBLISHING -- 5.4% Clear Channel Communications, Inc. ............... 37,761 $ 1,241,959 Comcast Corp. - Special Class A* ................. 51,480 1,481,595 Time Warner, Inc. ................................ 47,131 853,542 Viacom, Inc. - Class B ........................... 17,005 561,335 ----------- 4,138,431 ----------- TELEPHONE SYSTEMS -- 4.8% Alltell .......................................... 12,730 828,850 SBC Communications ............................... 57,052 1,367,536 Verizon Communications + ......................... 45,239 1,478,864 ----------- 3,675,250 ----------- INDUSTRIAL - DIVERSIFIED -- 4.1% General Electric ................................. 60,719 2,044,408 Tyco International ............................... 39,135 1,089,910 ----------- 3,134,318 ----------- RETAILERS -- 3.4% CVS .............................................. 51,141 1,483,600 Home Depot ....................................... 28,490 1,086,609 ----------- 2,570,209 ----------- ELECTRONICS -- 3.1% Analog Devices ................................... 17,250 640,665 Flextronics International Ltd.* .................. 65,965 847,650 Intel ............................................ 34,415 848,330 ----------- 2,336,645 ----------- HEAVY MACHINERY -- 2.3% Caterpiller ...................................... 30,587 1,796,986 ----------- HEALTH CARE -- 2.3% Amgen, Inc.* ..................................... 11,025 878,361 WellPoint, Inc.* ................................. 11,286 855,705 ----------- 1,734,066 ----------- MEDICAL SUPPLIES -- 1.5% Boston Scientific Corp.* ......................... 47,612 1,112,692 ----------- BUILDING PRODUCTS -- 1.4% Masco ............................................ 35,806 1,098,528 ----------- HOUSEHOLD PRODUCTS -- 1.2% Kimberly-Clark ................................... 15,557 926,108 ----------- PAPER AND RELATED PRODUCTS -- 1.2% Sealed Air Corp.* ................................ 19,046 903,923 ----------- CHEMICALS -- 1.1% Du Pont (E.I.) DE Nemours ........................ 21,865 856,452 ----------- FARM MACHINERY AND EQUIPMENT -- 1.1% Deere & Co. ...................................... 13,895 850,374 ----------- TOTAL COMMON STOCKS .............................. $74,769,050 ----------- 73 VALUE PLUS FUND (CONTINUED) ================================================================================ MARKET INVESTMENT FUNDS -- 5.8% SHARES VALUE -------------------------------------------------------------------------------- Touchstone Institutional Money Market Fund ^** .. 4,398,092 $ 4,398,092 ----------- TOTAL INVESTMENT SECURITIES -- 103.5% (Cost $69,938,422) .............................. $79,167,142 LIABILITIES IN EXCESS OF OTHER ASSETS -- (3.5%).. (2,683,104) ----------- NET ASSETS -- 100.0% ............................ $76,484,038 =========== * Non-income producing security. ^ Affiliated Fund, managed by Fort Washington Investment Advisors, Inc. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2005 was $2,590,585. ** As of September 30, 2005, $2,661,772 represents collateral for securities loaned. ADR - American Depository Receipt. See accompanying notes to financial statements. 74 OTHER ITEMS (UNAUDITED) ================================================================================ PROXY VOTING The Sub-Advisors are responsible for exercising the voting rights associated with the securities purchased and held by the Funds. A description of the policies and procedures that the Sub-Advisors use in fulfilling this responsibility and information regarding how those proxies were voted during the twelve month period ended June 30 are available without charge upon request by calling toll free 1.800.543.0407. These items are also available on the Securities and Exchange Commission's (the Commission)?website at http://www.sec.gov. QUARTERLY PORTFOLIO DISCLOSURE The Trust files a complete listing of portfolio holdings for each Fund as of the end of the first and third quarters of each fiscal year on Form N-Q. The complete listing (i) is available on the Commission's website; (ii) may be reviewed and copied at the Commission's Public Reference Room in Washington, DC; and (iii) will be made available to shareholders upon request by calling 1.800.543.0407. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. SCHEDULE OF SHAREHOLDER EXPENSES As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including reinvested dividends or other distributions; and (2) ongoing costs, including investment advisory fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. ACTUAL EXPENSES The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the deading entitled "Expenses Paid During the Six Months Ended September 30, 2005" to estimate the expenses you paid on your account during this period. 75 OTHER ITEMS (UNAUDITED) (CONTINUED) ================================================================================ SCHEDULE OF SHAREHOLDER EXPENSES (CONTINUED) HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Funds' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
EXPENSES PAID NET EXPENSE ENDING DURING THE RATIO BEGINNING ACCOUNT SIX MONTHS ANNUALIZED ACCOUNT VALUE VALUE ENDED SEPT. 30, APRIL 1, SEPT. 30, SEPT. 30, 2005 2005 2005 2005* -------------------------------------------------------------------------------------------------------------- EMERGING GROWTH FUND Class A Actual ................. 1.50% $ 1,000.00 $ 1,085.00 $ 7.84 Class A Hypothetical ........... 1.50% $ 1,000.00 $ 1,017.55 $ 7.59 Class B Actual ................. 2.25% $ 1,000.00 $ 1,081.00 $ 11.74 Class B Hypothetical ........... 2.25% $ 1,000.00 $ 1,013.79 $ 11.36 Class C Actual ................. 2.25% $ 1,000.00 $ 1,081.00 $ 11.74 Class C Hypothetical ........... 2.25% $ 1,000.00 $ 1,013.79 $ 11.36 GROWTH OPPORTUNITIES FUND Class A Actual ................. 1.72% $ 1,000.00 $ 1,113.80 $ 9.11 Class A Hypothetical ........... 1.72% $ 1,000.00 $ 1,016.44 $ 8.69 Class B Actual ................. 3.04% $ 1,000.00 $ 1,113.70 $ 16.11 Class B Hypothetical ........... 3.04% $ 1,000.00 $ 1,009.83 $ 15.32 Class C Actual ................. 2.66% $ 1,000.00 $ 1,114.00 $ 14.10 Class C Hypothetical ........... 2.66% $ 1,000.00 $ 1,011.73 $ 13.42 LARGE CAP CORE EQUITY FUND Class A Actual ................. 1.00% $ 1,000.00 $ 1,030.60 $ 5.09 Class A Hypothetical ........... 1.00% $ 1,000.00 $ 1,020.05 $ 5.06 Class B Actual ................. 1.75% $ 1,000.00 $ 1,026.50 $ 8.89 Class B Hypothetical ........... 1.75% $ 1,000.00 $ 1,016.29 $ 8.85 Class C Actual ................. 1.75% $ 1,000.00 $ 1,026.40 $ 8.89 Class C Hypothetical ........... 1.75% $ 1,000.00 $ 1,016.29 $ 8.85
76 OTHER ITEMS (UNAUDITED) (CONTINUED) ================================================================================ SCHEDULE OF SHAREHOLDER EXPENSES (CONTINUED)
EXPENSES PAID NET EXPENSE ENDING DURING THE RATIO BEGINNING ACCOUNT SIX MONTHS ANNUALIZED ACCOUNT VALUE VALUE ENDED SEPT. 30, APRIL 1, SEPT. 30, SEPT. 30, 2005 2005 2005 2005* --------------------------------------------------------------------------------------------------------------- LARGE CAP GROWTH FUND Class A Actual ............... 1.13% $ 1,000.00 $ 1,075.10 $ 5.88 Class A Hypothetical ......... 1.13% $ 1,000.00 $ 1,019.40 $ 5.72 Class B Actual ............... 2.07% $ 1,000.00 $ 1,071.40 $ 10.75 Class B Hypothetical ......... 2.07% $ 1,000.00 $ 1,014.69 $ 10.46 Class C Actual ............... 1.94% $ 1,000.00 $ 1,072.40 $ 10.08 Class C Hypothetical ......... 1.94% $ 1,000.00 $ 1,015.34 $ 9.80 Class I Actual ............... 0.91% $ 1,000.00 $ 1,076.00 $ 4.74 Class I Hypothetical ......... 0.91% $ 1,000.00 $ 1,020.51 $ 4.61 MICRO CAP GROWTH FUND Class A Actual ............... 1.95% $ 1,000.00 $ 1,056.90 $ 10.06 Class A Hypothetical ......... 1.95% $ 1,000.00 $ 1,015.29 $ 9.85 Class C Actual ............... 2.70% $ 1,000.00 $ 1,053.60 $ 13.90 Class C Hypothetical ......... 2.70% $ 1,000.00 $ 1,011.53 $ 13.62 Class I Actual ............... 1.55% $ 1,000.00 $ 1,060.90 $ 8.01 Class I Hypothetical ......... 1.55% $ 1,000.00 $ 1,017.30 $ 7.84 SMALL CAP GROWTH FUND Class A Actual ............... 1.95% $ 1,000.00 $ 1,075.40 $ 10.15 Class A Hypothetical ......... 1.95% $ 1,000.00 $ 1,015.29 $ 9.85 Class B Actual ............... 2.70% $ 1,000.00 $ 1,073.40 $ 14.03 Class B Hypothetical ......... 2.70% $ 1,000.00 $ 1,011.53 $ 13.62 Class C Actual ............... 2.70% $ 1,000.00 $ 1,073.30 $ 14.03 Class C Hypothetical ......... 2.70% $ 1,000.00 $ 1,011.53 $ 13.62 Class I Actual ............... 1.54% $ 1,000.00 $ 1,077.10 $ 8.02 Class I Hypothetical ......... 1.54% $ 1,000.00 $ 1,017.35 $ 7.79
77 OTHER ITEMS (UNAUDITED) (CONTINUED) ================================================================================ SCHEDULE OF SHAREHOLDER EXPENSES (CONTINUED)
EXPENSES PAID NET EXPENSE ENDING DURING THE RATIO BEGINNING ACCOUNT SIX MONTHS ANNUALIZED ACCOUNT VALUE VALUE ENDED SEPT. 30, APRIL 1, SEPT. 30, SEPT. 30, 2005 2005 2005 2005* --------------------------------------------------------------------------------------------------------------- VALUE PLUS FUND Class A Actual ............... 1.30% $ 1,000.00 $ 1,027.90 $ 6.61 Class A Hypothetical ......... 1.30% $ 1,000.00 $ 1,018.55 $ 6.58 Class B Actual ............... 2.05% $ 1,000.00 $ 1,023.40 $ 10.40 Class B Hypothetical ......... 2.05% $ 1,000.00 $ 1,014.79 $ 10.35 Class C Actual ............... 2.05% $ 1,000.00 $ 1,023.20 $ 10.40 Class C Hypothetical ......... 2.05% $ 1,000.00 $ 1,014.79 $ 10.35
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by [number of days in most recent fiscal half-year/365] (to reflect the one-half year period). 78 TOUCHSTONE INVESTMENTS DISTRIBUTOR Touchstone Securities, Inc. 303 Broadway Cincinnati, Ohio 45202-4203 800.638.8194 www.touchstoneinvestments.com INVESTMENT ADVISOR Touchstone Advisors, Inc. 303 Broadway Cincinnati, Ohio 45202-4203 TRANSFER AGENT Integrated Fund Services, Inc. P.O. Box 5354 Cincinnati, Ohio 45201-5354 SHAREHOLDER SERVICE 800.543.0407 A Member of Western & Southern Financial Group(R) -------------------------------------------------------------------------------- Touchstone Securities, Inc. 303 Broadway Cincinnati, Ohio 45202-4203 [LOGO] TOUCHSTONE INVESTMENTS ------------ TSF-158-0509 ------------ ITEM 2. CODE OF ETHICS. Not required for Semiannual Reports. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not required for Semiannual Reports. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not required for Semiannual Reports. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable ITEM 6. SCHEDULE OF INVESTMENTS. The Schedule of Investments in securities of unaffiliated issuers is included in the Semiannual Report. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The registrant does not have procedures by which shareholders may recommend nominees to its Board of Trustees. ITEM 11. CONTROLS AND PROCEDURES. (a) Based on an evaluation of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) the registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosure controls and procedures are effective as of a date within 90 days of the filing date of this report. (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's second fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(2) Certifications required by Item 12(a)(2) of Form N-CSR are filed herewith. (b) Certification required by Item 11(b) of Form N-CSR is filed herewith. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Touchstone Strategic Trust By (Signature and Title) /s/ Jill T. McGruder ------------------------- Jill T. McGruder President Date: December 5, 2005 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title) /s/ Jill T. McGruder ------------------------- Jill T. McGruder President Date: December 5, 2005 /s/ Terrie A. Wiedenheft ------------------------- Terrie A. Wiedenheft Controller & Treasurer Date: December 5, 2005